1 FX ranking

1.1 EM FX ranking

We propose an example of currenciy ranking for EM and G10 based on the factors described hereinafter.

Ranking construction:
- Factors fall into two categories, [a] valuation/fundamental/competitiveness and [b] carry/monetary policy
- For each individual factor, we calculate its relative value versus the average of its EM peers ; and then normalized into a z-score
- A simple average of these normalized relative factors is then used to generate the ranking

EM FX Ranking
  Carry and monetary pol.   Valuation/fundamental factors   FX performance
Aggregate   Carry-to-vol (-1)Excess credit   (-1)REER v.5YMA Growth vs US C/A %GDP TB v.6m   1w perf 1m perf
  [a] [b]   [c] [d] [e] [f]   [g] [g]
WEIGHTS   16% 55%   6% 0% 2% 20%  
TRY 2.14 →   0.5 9.3   16.47 -1.45 -4.12 3.17   -2.4 -2.26
RUB 1.01 →   0.32 -1.35   9.5 -1.46 5.46 2.93   1.25 -1
BRL 0.66 →   0.19 3.08   9.4 -1.73 -0.73 0.02   0.05 4.77
RON 0.5 →   0.05 4.13   0.34 1.35 -4.33 -0.46   0.2 0.29
COP 0.46 →   0.12 2.19   11.01 -0.39 -3.18 -0.35   1.26 0.83
PLN 0.21 →   -0.09 2.26   0.98 2.72 -0.59 -0.76   0.63 1.06
ZAR 0.17 →   0.24 0.25   -0.42 -1.92 -3.5 -0.74   0.9 2.46
IDR 0.08 →   0.54 -1.58   0.86 2.17 -2.72 -1.04   1.58 3.2
HUF -0.01 →   -0.26 1.91   0.81 1.94 1.8 -1.25   0.49 1.58
INR -0.04 →   0.5 -3.18   -2.21 4.1 -2.31 -0.78   -1.08 1.7
MXN -0.12 →   0.39 -5.14   4.9 -0.48 -1.56 -0.32   1.43 6.13
PEN -0.15 →   0.3 -4.61   -0.1 -0.73 -1.73 -0.34   -0.06 0.13
CZK -0.19 ↑   -0.12 -1.88   -5.83 -0.65 0.41 -0.62   0.68 2.01
KRW -0.24 ↓   -0.13 -2.58   -1.9 -1.04 4.7 -0.72   0.72 0.63
CNH -0.37 →   0.03 -6.11   2.83 3.45 0.42 -0.26   1.57 1.75
CLP -0.38 →   -0.05 -2.72   1.65 -0.25 -2.22 -1.4   1.15 1.07
ILS -0.4 →   -0.49 -1.36   1.25 -0.1 2.03 -1.2   1.13 2.53
THB -0.49 →   -0.2 -1.43   -4.8 0.34 7.67 -2.1   0.55 2.52
PHP -0.65 ↑   0.45 -5.51   2.74 3.11 -2.95 -2.52   0.74 0.96
TWD -0.74 ↓   -0.46 -3.61   -2.6 -0.74 12.79 -1.93   0.18 0.14
ARS -1.44 →   0.46 -23.11   18.89 -6.54 -6.02 0.71   1.24 2.47
Average 0   0.11 -1.96   3.04 0.08 -0.03 -0.47   0.58 1.57
[a] Carry-to-volatility ratio, FX Forward implied 3-month carry, annualized, capped at 10% p.a.
[b] Inflation-adjusted credit to private non-financial sector, growth in excess of real GDP growth, negative, %oya
[c] Real effective exchange rate, % change versus previous 5-years moving average, negative, winsorized at 15%
[d] GDP growth trend versus base country (US), 3-month average, %oya
[e] Current account ratio, % of GDP, 12-month trailing
[f] Trade balance ratio, % of GDP, change over 12 months ago, in p.p.
[g] FX performance is spot returns over past 1 month and 1 week

The underlying factors can be compared using the graphs and tables in the following sections.

1.2 G10 FX ranking

Ranking construction:
- Factors fall into two categories, [a] valuation/fundamental/competitiveness and [b] carry/monetary policy
- For each individual factor, we calculate its relative value versus the average of its EM peers ; and then normalized into a z-score
- A simple average of these normalized relative factors is then used to generate the ranking

G10 FX Ranking
  Carry and monetary pol.   Valuation/fundamental factors   FX performance
Aggregate   Carry-to-vol Excess infl.   TB v.6m Ind. prod.(oya) Growth vs US (-1)U/E v.6m   1w perf 1m perf
  [a] [b]   [c] [d] [e] [f]   [g] [g]
WEIGHTS   15% 26%   25% 18% 16% 0%  
NOK 1.12 →   -0.16 0.99   2.86 2.21 -1.44 -0.1   0.91 0.51
AUD 0.48 →   -0.05 -0.61   0.84 2.76 -0.24 0.2   1.43 0.12
CAD 0.35 →   -0.1 -0.32   0.03 4.6 -0.94 0.4   0.81 0.93
NZD 0.13 →   -0.06 -0.11   -0.53 0.53 -0.4 0.5   1.49 -0.65
GBP -0.05 ↑   -0.13 0.31   -0.16 -1.45 -1.5 -0.1   0.95 2.86
SEK -0.06 ↓   -0.3 -0.04   -0.45 3.2 -1.35 0.2   0.4 1.76
EUR -0.38 →   -0.41 -0.17   -0.36 1.04 -1.38 0.3   0.65 1.34
CHF -0.59 →   -0.46 -0.81   -0.62 1.39 -0.85 0.2   0.42 1
JPY -1.01 →   -0.34 -1.11   -0.72 0.19 -3 -0.1   0.03 4.52
Average 0   -0.22 -0.21   0.1 1.61 -1.23 0.17   0.79 1.38
[a] Carry-to-volatility ratio, FX Forward implied 3-month carry, annualized, capped at 10% p.a.
[b] Excess inflation: broad (50% headline/ 50% core) annual inflation over target, p.p.
[c] Trade balance ratio, % of GDP, change over 12 months ago, in p.p.
[d] Industrial production, %oya
[e] GDP growth trend versus base country (US), 3-month average, %oya
[f] Unemployemnt rate, change over 6m, p.p., negative
[g] FX performance is spot returns over past 1 month and 1 week

2 Global factors comparison

2.1 EM FX: Valuation/fundamental and competitiveness

Factors are compared between countries using whisker plots.
They are ordered by their long-term medians.
The latest value (red) as well as 3-month ago value (green) are highlighted for guidance.

2.2 EM FX: Carry and monetary policy

Factors are compared between countries using whisker plots.
They are ordered by their long-term medians.
The latest value (red) as well as 3-month ago value (green) are highlighted for guidance.

2.3 G10 FX: Valuation/fundamental and competitiveness

Factors are compared between countries using whisker plots.
They are ordered by their long-term medians.
The latest value (red) as well as 3-month ago value (green) are highlighted for guidance.

2.4 G10 FX: Carry and monetary policy

3 Individual country details

3.1 Latam

3.1.1 Brazilian real (BRL)

Brazilian real : macro factors as of 2019-01-13
USDBRL   comparison   historic averages
12m ago 3m ago 1m ago latest   EMAVG group   2003-2009 2010-2019
Valuation/fundamental and competitiveness
  Real FX vs. 5Y, % [a] -4.87 -11.6 -8.06 -9.4   -2.99   11.92 -4.42
  Current account balance, % of GDP [b] -0.27 -0.85 -0.73 -0.73   0.09   0.31 -2.56
  Trade balance, % GDP [c] 3.26 2.88 2.95 3.03   0.29   3.63 1.33
  Trade balance, diff. oya [d] 0.63 -0.32 -0.3 -0.23   -0.82   0.04 0.16
  Excess GDP growth vs. US, % [e] -0.3 -1.73 -1.73 -1.73   0.14   1.84 -0.86
  Excess GDP growth vs. potential, % [f] 0.38 0.09 0.09 0.09   -0.36   0.81 -1.89
Carry and monetary policy
  Market-implied 3M FX carry, % [g] 4.15 3.32 2.53 2.73   1.76   8.33 7.68
  Interest rates differentials, % [h] 5.07 4.3 3.71 3.62   4.32   12.28 9.6
  Real 3M FX carry, % [i] 1.91 1.49 0.69 0.89   -0.02   4.44 4.26
  Carry-to-vol ratio [j] 0.47 0.2 0.16 0.21   0.1   0.6
  Excess inflation, % [k] -1.55 0.03 -0.45 -0.75   2.06   1.46 1.56
  Excess credit growth, %oya [l] -4.66 -3.86 -3.38 -3.08   1.99   3.67 3.6
  Excess M1 growth, %oya [m] 0.61 4.31 1.85 2.16   0.46   3.81 -0.94
Market distress
  FX Fwd market, short-term vol., % [n] 8.87 16.54 15.73 12.88   7.73   14.28
  Volatility shock (ratio s-t/m-t) [o] -0.26 -0.07 -0.08 -0.2   -0.16   0.03
  Implied FX vol deviation, % [p] 0.32 10.62 -6.93 -4.27   0.08   0.21 -0.04
[a] Real effective exchange rate, % change versus previous 5-years moving average
[b] Current account ratio, % of GDP, 12-month trailing
[c] Trade balance ratio, % of GDP, 12-month trailing
[d] Trade balance ratio, % of GDP, change over 12 months ago, in p.p.
[e] GDP growth trend versus base country (US), 3-month average, %oya
[f] GDP growth trend versus estimated potential (OECD), 3-month average, %oya
[g] FX Forward implied 3-month carry, annualized, capped at 20% p.a.
[h] Local 3-month nominal rate differentials over base currency (US), %
[i] Real FX carry: forward-implied carry, minus inflation expectation differential to base country (US)
[j] Carry-to-vol ratio (exponentially-weighted annualized std deviation of forwards returns)
[k] Broad (50% headline/ 50% core) annual inflation over target, p.p.
[l] Inflation-adjusted credit to private non-financial sector, growth in excess of real GDP growth, %oya
[m] Inflation-adjusted M1 growth in excess of real GDP growth, %oya
[n] Exponentially-weighted (11-day halftime) annualized volatility of FX forward returns, %
[o] Ratio of 11-day to 22-day halftime exponentially-weighted volatility of FX forward returns, p.p.
[p] ATM 1M implied FX options volatility, % deviation vs. past 3-month moving average

3.1.2 Chilean peso (CLP)

Chilean peso : macro factors as of 2019-01-13
USDCLP   comparison   historic averages
12m ago 3m ago 1m ago latest   EMAVG group   2003-2009 2010-2019
Valuation/fundamental and competitiveness
  Real FX vs. 5Y, % [a] 3.57 2.89 2.46 -1.65   -2.99   0.43 -1.59
  Current account balance, % of GDP [b] -1.5 -2.22 -2.22 -2.22   0.09   1.66 -1.72
  Trade balance, % GDP [c] 2.86 2.46 2.04 1.8   0.29   8.86 3.08
  Trade balance, diff. oya [d] 0.68 -0.08 -0.76 -1.05   -0.82   0.13 -0.14
  Excess GDP growth vs. US, % [e] 0.78 -0.25 -0.25 -0.25   0.14   2.57 1.32
  Excess GDP growth vs. potential, % [f] -0.02 -0.16 -0.16 -0.16   -0.36   0.14 -0.25
Carry and monetary policy
  Market-implied 3M FX carry, % [g] 0.16 0.44 -1.94 -0.59   1.76   0.75 2.86
  Interest rates differentials, % [h] 1.35 0.43 0.54 0.43   4.32   3.67
  Real 3M FX carry, % [i] -0.42 0.02 -2.37 -1.02   -0.02   -0.38 1.84
  Carry-to-vol ratio [j] 0.02 0.03 -0.14 -0.07   0.1   0.4
  Excess inflation, % [k] -0.73 0.14 -0.18 -0.43   2.06   0.57 0
  Excess credit growth, %oya [l] -0.61 2.15 2.47 2.72   1.99   5.15 2.87
  Excess M1 growth, %oya [m] 5.19 5.97 4.21 6.22   0.46   7.64 5.87
Market distress
  FX Fwd market, short-term vol., % [n] 10.51 15.13 14.18 7.88   7.73   9.3
  Volatility shock (ratio s-t/m-t) [o] 0.17 0.37 0.06 -0.48   -0.16   0.02
  Implied FX vol deviation, % [p] -0.49 1.49 0.04 -0.2   0.08   0.06 -0.03
[a] Real effective exchange rate, % change versus previous 5-years moving average
[b] Current account ratio, % of GDP, 12-month trailing
[c] Trade balance ratio, % of GDP, 12-month trailing
[d] Trade balance ratio, % of GDP, change over 12 months ago, in p.p.
[e] GDP growth trend versus base country (US), 3-month average, %oya
[f] GDP growth trend versus estimated potential (OECD), 3-month average, %oya
[g] FX Forward implied 3-month carry, annualized, capped at 20% p.a.
[h] Local 3-month nominal rate differentials over base currency (US), %
[i] Real FX carry: forward-implied carry, minus inflation expectation differential to base country (US)
[j] Carry-to-vol ratio (exponentially-weighted annualized std deviation of forwards returns)
[k] Broad (50% headline/ 50% core) annual inflation over target, p.p.
[l] Inflation-adjusted credit to private non-financial sector, growth in excess of real GDP growth, %oya
[m] Inflation-adjusted M1 growth in excess of real GDP growth, %oya
[n] Exponentially-weighted (11-day halftime) annualized volatility of FX forward returns, %
[o] Ratio of 11-day to 22-day halftime exponentially-weighted volatility of FX forward returns, p.p.
[p] ATM 1M implied FX options volatility, % deviation vs. past 3-month moving average

3.1.3 Colombian peso (COP)

Colombian peso : macro factors as of 2019-01-13
USDCOP   comparison   historic averages
12m ago 3m ago 1m ago latest   EMAVG group   2003-2009 2010-2019
Valuation/fundamental and competitiveness
  Real FX vs. 5Y, % [a] -11.95 -4.44 -10.12 -11.01   -2.99   4.63 -3.92
  Current account balance, % of GDP [b] -3.34 -3.18 -3.18 -3.18   0.09   -2.24 -3.79
  Trade balance, % GDP [c] -1.94 -1.52 -1.72 -1.72   0.29   -0.31 -1.05
  Trade balance, diff. oya [d] 1.97 0.95 0.68 0.68   -0.82   0.04 -0.15
  Excess GDP growth vs. US, % [e] -0.72 -0.39 -0.39 -0.39   0.14   4.01 1.56
  Excess GDP growth vs. potential, % [f] -2.38 -0.91 -0.91 -0.91   -0.36   0.67 -0.54
Carry and monetary policy
  Market-implied 3M FX carry, % [g] 2.91 1.21 1.41 1.47   1.76   4.57 2.99
  Interest rates differentials, % [h] 2.82 1.73 1.42 1.34   4.32   3.9
  Real 3M FX carry, % [i] 0.98 -0.06 0.25 0.36   -0.02   1.45 1.38
  Carry-to-vol ratio [j] 0.55 0.12 0.14 0.14   0.1   0.36
  Excess inflation, % [k] 1.09 0.22 0.27 0.18   2.06   0.8 0.74
  Excess credit growth, %oya [l] -2.57 -2.23 -2.27 -2.19   1.99   4.33 4.15
  Excess M1 growth, %oya [m] 0.53 1.55 1.91 1.45   0.46   3.25 2.34
Market distress
  FX Fwd market, short-term vol., % [n] 5.32 10.27 10.31 10.38   7.73   10.39
  Volatility shock (ratio s-t/m-t) [o] -0.2 -0.15 -0.05 0   -0.16   0.01
  Implied FX vol deviation, % [p] -0.08 -0.01 -0.89 -0.07   0.08   0.19 -0.13
[a] Real effective exchange rate, % change versus previous 5-years moving average
[b] Current account ratio, % of GDP, 12-month trailing
[c] Trade balance ratio, % of GDP, 12-month trailing
[d] Trade balance ratio, % of GDP, change over 12 months ago, in p.p.
[e] GDP growth trend versus base country (US), 3-month average, %oya
[f] GDP growth trend versus estimated potential (OECD), 3-month average, %oya
[g] FX Forward implied 3-month carry, annualized, capped at 20% p.a.
[h] Local 3-month nominal rate differentials over base currency (US), %
[i] Real FX carry: forward-implied carry, minus inflation expectation differential to base country (US)
[j] Carry-to-vol ratio (exponentially-weighted annualized std deviation of forwards returns)
[k] Broad (50% headline/ 50% core) annual inflation over target, p.p.
[l] Inflation-adjusted credit to private non-financial sector, growth in excess of real GDP growth, %oya
[m] Inflation-adjusted M1 growth in excess of real GDP growth, %oya
[n] Exponentially-weighted (11-day halftime) annualized volatility of FX forward returns, %
[o] Ratio of 11-day to 22-day halftime exponentially-weighted volatility of FX forward returns, p.p.
[p] ATM 1M implied FX options volatility, % deviation vs. past 3-month moving average

3.1.4 Mexican peso (MXN)

Mexican peso : macro factors as of 2019-01-13
USDMXN   comparison   historic averages
12m ago 3m ago 1m ago latest   EMAVG group   2003-2009 2010-2019
Valuation/fundamental and competitiveness
  Real FX vs. 5Y, % [a] -14.21 -3.49 -8.64 -4.9   -2.99   -5.93 -5.85
  Current account balance, % of GDP [b] -1.64 -1.56 -1.56 -1.56   0.09   -0.94 -1.7
  Trade balance, % GDP [c] -0.94 -0.99 -1.28 -1.28   0.29   -0.98 -0.55
  Trade balance, diff. oya [d] 0.27 -0.11 -0.32 -0.32   -0.82   -0.04 0.04
  Excess GDP growth vs. US, % [e] -0.99 -0.48 -0.48 -0.48   0.14   -0.27 0.77
  Excess GDP growth vs. potential, % [f] -1.23 0.04 0.04 0.04   -0.36   -0.43 0.65
Carry and monetary policy
  Market-implied 3M FX carry, % [g] 6.19 5.53 5.68 5.36   1.76   4.65 3.7
  Interest rates differentials, % [h] 5.97 5.77 5.71 5.83   4.32   4.77 4.38
  Real 3M FX carry, % [i] 4 3.78 4.08 3.82   -0.02   3.21 2.2
  Carry-to-vol ratio [j] 0.61 0.53 0.42 0.56   0.1   0.36
  Excess inflation, % [k] 3.77 2.02 1.72 1.83   2.06   1.47 1
  Excess credit growth, %oya [l] 0.14 4.95 5.25 5.14   1.99   5.48 4.54
  Excess M1 growth, %oya [m] 1.98 0.22 1.74 1.62   0.46   5.95 5.76
Market distress
  FX Fwd market, short-term vol., % [n] 10.2 10.36 13.66 9.6   7.73   11.08
  Volatility shock (ratio s-t/m-t) [o] 0.04 -0.27 -0.14 -0.31   -0.16   0.01
  Implied FX vol deviation, % [p] 2.62 -3.19 0.92 -0.09   0.08   0.11 -0.01
[a] Real effective exchange rate, % change versus previous 5-years moving average
[b] Current account ratio, % of GDP, 12-month trailing
[c] Trade balance ratio, % of GDP, 12-month trailing
[d] Trade balance ratio, % of GDP, change over 12 months ago, in p.p.
[e] GDP growth trend versus base country (US), 3-month average, %oya
[f] GDP growth trend versus estimated potential (OECD), 3-month average, %oya
[g] FX Forward implied 3-month carry, annualized, capped at 20% p.a.
[h] Local 3-month nominal rate differentials over base currency (US), %
[i] Real FX carry: forward-implied carry, minus inflation expectation differential to base country (US)
[j] Carry-to-vol ratio (exponentially-weighted annualized std deviation of forwards returns)
[k] Broad (50% headline/ 50% core) annual inflation over target, p.p.
[l] Inflation-adjusted credit to private non-financial sector, growth in excess of real GDP growth, %oya
[m] Inflation-adjusted M1 growth in excess of real GDP growth, %oya
[n] Exponentially-weighted (11-day halftime) annualized volatility of FX forward returns, %
[o] Ratio of 11-day to 22-day halftime exponentially-weighted volatility of FX forward returns, p.p.
[p] ATM 1M implied FX options volatility, % deviation vs. past 3-month moving average

3.1.5 Peruvian sol (PEN)

Peruvian sol : macro factors as of 2019-01-13
USDPEN   comparison   historic averages
12m ago 3m ago 1m ago latest   EMAVG group   2003-2009 2010-2019
Valuation/fundamental and competitiveness
  Real FX vs. 5Y, % [a] -1.49 1.98 0.58 0.1   -2.99   -1.61 1.81
  Current account balance, % of GDP [b] -1.12 -1.73 -1.73 -1.73   0.09   -0.18 -2.85
  Trade balance, % GDP [c] 3.06 3.27 3.04 3.04   0.29   5.13 2.2
  Trade balance, diff. oya [d] 2.06 0.31 0.02 0.02   -0.82   0.31 0.1
  Excess GDP growth vs. US, % [e] -0.16 -0.73 -0.73 -0.73   0.14   4.21 2.45
  Excess GDP growth vs. potential, % [f] -2.94 -1.95 -1.95 -1.95   -0.36   1.74 -1.48
Carry and monetary policy
  Market-implied 3M FX carry, % [g] 2.02 2.08 1.26 1.2   1.76   0.91 3.09
  Interest rates differentials, % [h] 2.46 2.04 1.96 2.09   4.32   1.71 3.86
  Real 3M FX carry, % [i] 1.69 2.36 1.57 1.5   -0.02   0.78 2.62
  Carry-to-vol ratio [j] 0.31 0.55 0.46 0.46   0.1   1.01
  Excess inflation, % [k] -0.64 -0.72 0.17 0.19   2.06   0.58 0.88
  Excess credit growth, %oya [l] 1.44 5.73 5.29 4.61   1.99   -8.77 5.26
  Excess M1 growth, %oya [m] 3.45 5.52 4.1 4.08   0.46   10.76 4.52
Market distress
  FX Fwd market, short-term vol., % [n] 6.43 3.81 2.74 2.62   7.73   3.8
  Volatility shock (ratio s-t/m-t) [o] 1.82 -0.03 -0.14 -0.12   -0.16   0.05
  Implied FX vol deviation, % [p] 0.21 0.6 -0.09 -0.16   0.08   0.38 -0.1
[a] Real effective exchange rate, % change versus previous 5-years moving average
[b] Current account ratio, % of GDP, 12-month trailing
[c] Trade balance ratio, % of GDP, 12-month trailing
[d] Trade balance ratio, % of GDP, change over 12 months ago, in p.p.
[e] GDP growth trend versus base country (US), 3-month average, %oya
[f] GDP growth trend versus estimated potential (OECD), 3-month average, %oya
[g] FX Forward implied 3-month carry, annualized, capped at 20% p.a.
[h] Local 3-month nominal rate differentials over base currency (US), %
[i] Real FX carry: forward-implied carry, minus inflation expectation differential to base country (US)
[j] Carry-to-vol ratio (exponentially-weighted annualized std deviation of forwards returns)
[k] Broad (50% headline/ 50% core) annual inflation over target, p.p.
[l] Inflation-adjusted credit to private non-financial sector, growth in excess of real GDP growth, %oya
[m] Inflation-adjusted M1 growth in excess of real GDP growth, %oya
[n] Exponentially-weighted (11-day halftime) annualized volatility of FX forward returns, %
[o] Ratio of 11-day to 22-day halftime exponentially-weighted volatility of FX forward returns, p.p.
[p] ATM 1M implied FX options volatility, % deviation vs. past 3-month moving average

3.1.6 Argentine peso (ARS)

Argentine peso : macro factors as of 2019-01-13
USDARS   comparison   historic averages
12m ago 3m ago 1m ago latest   EMAVG group   2003-2009 2010-2019
Valuation/fundamental and competitiveness
  Real FX vs. 5Y, % [a] 2.72 -33.36 -21.71 -18.89   -2.99   -14.74 11.73
  Current account balance, % of GDP [b] -4.96 -6.02 -6.02 -6.02   0.09   3.13 -2.06
  Trade balance, % GDP [c] -1.3 -1.65 -1.02 -1.02   0.29   6.67 0.79
  Trade balance, diff. oya [d] -1.66 -0.84 0.16 0.16   -0.82   -0.4 -0.66
  Excess GDP growth vs. US, % [e] 1.44 -6.54 -6.54 -6.54   0.14   3.73 -0.35
  Excess GDP growth vs. potential, % [f] 2.54 -4.75 -4.75 -4.75   -0.36   -2.27 -2.81
Carry and monetary policy
  Market-implied 3M FX carry, % [g] 10 10 10 10   1.76   5.98 9.74
  Interest rates differentials, % [h] 21.56 40.91 48.51 46.69   4.32   5.95 19.41
  Real 3M FX carry, % [i] -8.8 -6.39 -7.99 -8.8   -0.02   -11.57
  Carry-to-vol ratio [j] 0.47 0.23 0.55 0.63   0.1   3.45
  Excess inflation, % [k] 11.63 29.46 36.77 36.77   2.06   18.59
  Excess credit growth, %oya [l] 17.92 30.42 23.11 23.11   1.99   5.82
  Excess M1 growth, %oya [m] -10.46 -15.55 -27.4 -21.65   0.46   -6.32
Market distress
  FX Fwd market, short-term vol., % [n] 21.16 43.06 18.09 15.81   7.73   8.36
  Volatility shock (ratio s-t/m-t) [o] 2.65 -0.04 -0.46 -0.4   -0.16   0.14
  Implied FX vol deviation, % [p] -0.2 5.94 -4.5 2.47   0.08   -0.54 0.17
[a] Real effective exchange rate, % change versus previous 5-years moving average
[b] Current account ratio, % of GDP, 12-month trailing
[c] Trade balance ratio, % of GDP, 12-month trailing
[d] Trade balance ratio, % of GDP, change over 12 months ago, in p.p.
[e] GDP growth trend versus base country (US), 3-month average, %oya
[f] GDP growth trend versus estimated potential (OECD), 3-month average, %oya
[g] FX Forward implied 3-month carry, annualized, capped at 20% p.a.
[h] Local 3-month nominal rate differentials over base currency (US), %
[i] Real FX carry: forward-implied carry, minus inflation expectation differential to base country (US)
[j] Carry-to-vol ratio (exponentially-weighted annualized std deviation of forwards returns)
[k] Broad (50% headline/ 50% core) annual inflation over target, p.p.
[l] Inflation-adjusted credit to private non-financial sector, growth in excess of real GDP growth, %oya
[m] Inflation-adjusted M1 growth in excess of real GDP growth, %oya
[n] Exponentially-weighted (11-day halftime) annualized volatility of FX forward returns, %
[o] Ratio of 11-day to 22-day halftime exponentially-weighted volatility of FX forward returns, p.p.
[p] ATM 1M implied FX options volatility, % deviation vs. past 3-month moving average

3.2 CEEMEA

3.2.1 South African rand (ZAR)

South African rand : macro factors as of 2019-01-13
USDZAR   comparison   historic averages
12m ago 3m ago 1m ago latest   EMAVG group   2003-2009 2010-2019
Valuation/fundamental and competitiveness
  Real FX vs. 5Y, % [a] 8.12 1.25 5.24 0.42   -2.99   0.72 -3.94
  Current account balance, % of GDP [b] -2.39 -3.5 -3.5 -3.5   0.09   -3.37 -3.65
  Trade balance, % GDP [c] 1.66 0.54 0.19 0.19   0.29   -1.38 -0.14
  Trade balance, diff. oya [d] 1.23 -0.62 -1.39 -1.39   -0.82   -0.7 0.28
  Excess GDP growth vs. US, % [e] -1.02 -1.92 -1.92 -1.92   0.14   1.88 -0.37
  Excess GDP growth vs. potential, % [f] -0.77 -0.69 -0.69 -0.69   -0.36   0.04 -1.17
Carry and monetary policy
  Market-implied 3M FX carry, % [g] 5.43 4.78 4.38 4.33   1.76   6.16 5.8
  Interest rates differentials, % [h] 5.46 4.6 4.41 4.34   4.32   6.17 5.53
  Real 3M FX carry, % [i] 2.67 2.44 2.05 1.99   -0.02   3.52 2.83
  Carry-to-vol ratio [j] 0.27 0.25 0.26 0.32   0.1   0.42
  Excess inflation, % [k] 0.2 0.41 0.68 0.68   2.06   1.31 0.79
  Excess credit growth, %oya [l] 0.66 0.02 -0.25 -0.25   1.99   6.85 -0.02
  Excess M1 growth, %oya [m] -0.3 0.4 -2.18 -2.18   0.46   2.85 2.2
Market distress
  FX Fwd market, short-term vol., % [n] 19.79 19.29 16.91 13.42   7.73   14.94
  Volatility shock (ratio s-t/m-t) [o] 0.23 -0.03 -0.09 -0.25   -0.16   0.01
  Implied FX vol deviation, % [p] -3.08 -0.68 -3.35 1.22   0.08   0.01 -0.04
[a] Real effective exchange rate, % change versus previous 5-years moving average
[b] Current account ratio, % of GDP, 12-month trailing
[c] Trade balance ratio, % of GDP, 12-month trailing
[d] Trade balance ratio, % of GDP, change over 12 months ago, in p.p.
[e] GDP growth trend versus base country (US), 3-month average, %oya
[f] GDP growth trend versus estimated potential (OECD), 3-month average, %oya
[g] FX Forward implied 3-month carry, annualized, capped at 20% p.a.
[h] Local 3-month nominal rate differentials over base currency (US), %
[i] Real FX carry: forward-implied carry, minus inflation expectation differential to base country (US)
[j] Carry-to-vol ratio (exponentially-weighted annualized std deviation of forwards returns)
[k] Broad (50% headline/ 50% core) annual inflation over target, p.p.
[l] Inflation-adjusted credit to private non-financial sector, growth in excess of real GDP growth, %oya
[m] Inflation-adjusted M1 growth in excess of real GDP growth, %oya
[n] Exponentially-weighted (11-day halftime) annualized volatility of FX forward returns, %
[o] Ratio of 11-day to 22-day halftime exponentially-weighted volatility of FX forward returns, p.p.
[p] ATM 1M implied FX options volatility, % deviation vs. past 3-month moving average

3.2.2 Russian ruble (RUB)

Russian ruble : macro factors as of 2019-01-13
USDRUB   comparison   historic averages
12m ago 3m ago 1m ago latest   EMAVG group   2003-2009 2010-2019
Valuation/fundamental and competitiveness
  Real FX vs. 5Y, % [a] -2.57 -6.55 -6.02 -9.5   -2.99   16.14 -2.87
  Current account balance, % of GDP [b] 2.11 5.46 5.46 5.46   0.09   7.45 3.38
  Trade balance, % GDP [c] 7.32 10.5 11.08 11.08   0.29   11.55 8.84
  Trade balance, diff. oya [d] 0.36 3.42 3.87 3.87   -0.82   -0.49 0.11
  Excess GDP growth vs. US, % [e] -1.6 -1.46 -1.46 -1.46   0.14   3.28 -0.55
  Excess GDP growth vs. potential, % [f] -1.09 0.01 0.01 0.01   -0.36   -1.39 -2.6
Carry and monetary policy
  Market-implied 3M FX carry, % [g] 4.7 3.6 3.95 4.45   1.76   2.55 6.54
  Interest rates differentials, % [h] 6.19 5.72 5.75 5.78   4.32   4.64 7.79
  Real 3M FX carry, % [i] 2.89 2.52 2.82 3.26   -0.02   -6.47 1.99
  Carry-to-vol ratio [j] 0.64 0.29 0.29 0.41   0.1   0.59
  Excess inflation, % [k] -1.48 -0.61 -0.17 0.23   2.06   -0.07 1.7
  Excess credit growth, %oya [l] -1.33 2.19 1.74 1.35   1.99   20.29 2.34
  Excess M1 growth, %oya [m] 7.18 9.32 6.63 6.24   0.46   1.31
Market distress
  FX Fwd market, short-term vol., % [n] 7.34 12.41 13.4 10.94   7.73   13.77
  Volatility shock (ratio s-t/m-t) [o] -0.17 -0.15 0.16 -0.14   -0.16   0.04
  Implied FX vol deviation, % [p] -1.47 -1.48 -0.27 1.42   0.08   0.33 -0.01
[a] Real effective exchange rate, % change versus previous 5-years moving average
[b] Current account ratio, % of GDP, 12-month trailing
[c] Trade balance ratio, % of GDP, 12-month trailing
[d] Trade balance ratio, % of GDP, change over 12 months ago, in p.p.
[e] GDP growth trend versus base country (US), 3-month average, %oya
[f] GDP growth trend versus estimated potential (OECD), 3-month average, %oya
[g] FX Forward implied 3-month carry, annualized, capped at 20% p.a.
[h] Local 3-month nominal rate differentials over base currency (US), %
[i] Real FX carry: forward-implied carry, minus inflation expectation differential to base country (US)
[j] Carry-to-vol ratio (exponentially-weighted annualized std deviation of forwards returns)
[k] Broad (50% headline/ 50% core) annual inflation over target, p.p.
[l] Inflation-adjusted credit to private non-financial sector, growth in excess of real GDP growth, %oya
[m] Inflation-adjusted M1 growth in excess of real GDP growth, %oya
[n] Exponentially-weighted (11-day halftime) annualized volatility of FX forward returns, %
[o] Ratio of 11-day to 22-day halftime exponentially-weighted volatility of FX forward returns, p.p.
[p] ATM 1M implied FX options volatility, % deviation vs. past 3-month moving average

3.2.3 Turkish lira (TRY)

Turkish lira : macro factors as of 2019-01-13
USDTRY   comparison   historic averages
12m ago 3m ago 1m ago latest   EMAVG group   2003-2009 2010-2019
Valuation/fundamental and competitiveness
  Real FX vs. 5Y, % [a] -15.32 -30.9 -17.76 -16.47   -2.99   8.46 -6.85
  Current account balance, % of GDP [b] -5.56 -5.58 -4.12 -4.12   0.09   -3.94 -5.41
  Trade balance, % GDP [c] -9.02 -9 -7.47 -6.68   0.29   -8.36 -9.09
  Trade balance, diff. oya [d] -2.51 -0.96 1.14 2.34   -0.82   -0.23 -0.23
  Excess GDP growth vs. US, % [e] 4.87 -1.45 -1.45 -1.45   0.14   2.96 4.29
  Excess GDP growth vs. potential, % [f] 3.19 -2.37 -2.37 -2.37   -0.36   0.87 2.13
Carry and monetary policy
  Market-implied 3M FX carry, % [g] 10 10 10 10   1.76   9.52 7.91
  Interest rates differentials, % [h] 13.27 25.56 22.08 21.85   4.32   17.62 10.11
  Real 3M FX carry, % [i] 4.2 2.7 1.83 1.51   -0.02   4.6 3.11
  Carry-to-vol ratio [j] 0.89 0.26 0.59 0.86   0.1   0.76
  Excess inflation, % [k] 6.92 19.52 16.62 15.3   2.06   2.09 3.99
  Excess credit growth, %oya [l] 1.98 1.68 -10.51 -9.3   1.99   21.25 9.33
  Excess M1 growth, %oya [m] -1.52 2.54 -10.02 -8.7   0.46   19.72 4.8
Market distress
  FX Fwd market, short-term vol., % [n] 11.29 38.34 17.09 11.63   7.73   11.88
  Volatility shock (ratio s-t/m-t) [o] -0.18 -0.27 -0.49 -0.42   -0.16   0.01
  Implied FX vol deviation, % [p] -0.69 -2.75 -11.91 -1.34   0.08   0.07 0.14
[a] Real effective exchange rate, % change versus previous 5-years moving average
[b] Current account ratio, % of GDP, 12-month trailing
[c] Trade balance ratio, % of GDP, 12-month trailing
[d] Trade balance ratio, % of GDP, change over 12 months ago, in p.p.
[e] GDP growth trend versus base country (US), 3-month average, %oya
[f] GDP growth trend versus estimated potential (OECD), 3-month average, %oya
[g] FX Forward implied 3-month carry, annualized, capped at 20% p.a.
[h] Local 3-month nominal rate differentials over base currency (US), %
[i] Real FX carry: forward-implied carry, minus inflation expectation differential to base country (US)
[j] Carry-to-vol ratio (exponentially-weighted annualized std deviation of forwards returns)
[k] Broad (50% headline/ 50% core) annual inflation over target, p.p.
[l] Inflation-adjusted credit to private non-financial sector, growth in excess of real GDP growth, %oya
[m] Inflation-adjusted M1 growth in excess of real GDP growth, %oya
[n] Exponentially-weighted (11-day halftime) annualized volatility of FX forward returns, %
[o] Ratio of 11-day to 22-day halftime exponentially-weighted volatility of FX forward returns, p.p.
[p] ATM 1M implied FX options volatility, % deviation vs. past 3-month moving average

3.2.4 Israeli shekel (ILS)

Israeli shekel : macro factors as of 2019-01-13
USDILS   comparison   historic averages
12m ago 3m ago 1m ago latest   EMAVG group   2003-2009 2010-2019
Valuation/fundamental and competitiveness
  Real FX vs. 5Y, % [a] 4.28 2.33 0.37 -1.25   -2.99   -5.12 3.41
  Current account balance, % of GDP [b] 2.86 2.03 2.03 2.03   0.09   2.33 3.19
  Trade balance, % GDP [c] -4.23 -6.21 -6.71 -6.88   0.29   -5.11 -4.52
  Trade balance, diff. oya [d] -0.2 -2.33 -2.58 -2.65   -0.82   0.12 -0.17
  Excess GDP growth vs. US, % [e] 0.73 -0.1 -0.1 -0.1   0.14   2.03 1.63
  Excess GDP growth vs. potential, % [f] -0.29 -0.43 -0.43 -0.43   -0.36   0.36 0.2
Carry and monetary policy
  Market-implied 3M FX carry, % [g] -1.47 -2.67 -2.76 -2.81   1.76   1.34 -0.12
  Interest rates differentials, % [h] -1.59 -2.28 -2.46 -2.52   4.32   1.54 0.32
  Real 3M FX carry, % [i] -0.53 -1.82 -1.96 -2.03   -0.02   0.23
  Carry-to-vol ratio [j] -0.38 -0.46 -0.49 -0.64   0.1   -0.05
  Excess inflation, % [k] -1.6 -0.8 -0.8 -0.8   2.06   -0.26 -0.91
  Excess credit growth, %oya [l] -0.17 1.36 1.36 1.36   1.99   -0.24 -0.58
  Excess M1 growth, %oya [m] 8.97 8.71 10.77 10.77   0.46   13.04 12.44
Market distress
  FX Fwd market, short-term vol., % [n] 3.83 5.73 5.59 4.39   7.73   6.29
  Volatility shock (ratio s-t/m-t) [o] -0.07 0.05 0.13 -0.18   -0.16   0
  Implied FX vol deviation, % [p] -0.36 -0.22 -0.27 -0.26   0.08   0.03 -0.07
[a] Real effective exchange rate, % change versus previous 5-years moving average
[b] Current account ratio, % of GDP, 12-month trailing
[c] Trade balance ratio, % of GDP, 12-month trailing
[d] Trade balance ratio, % of GDP, change over 12 months ago, in p.p.
[e] GDP growth trend versus base country (US), 3-month average, %oya
[f] GDP growth trend versus estimated potential (OECD), 3-month average, %oya
[g] FX Forward implied 3-month carry, annualized, capped at 20% p.a.
[h] Local 3-month nominal rate differentials over base currency (US), %
[i] Real FX carry: forward-implied carry, minus inflation expectation differential to base country (US)
[j] Carry-to-vol ratio (exponentially-weighted annualized std deviation of forwards returns)
[k] Broad (50% headline/ 50% core) annual inflation over target, p.p.
[l] Inflation-adjusted credit to private non-financial sector, growth in excess of real GDP growth, %oya
[m] Inflation-adjusted M1 growth in excess of real GDP growth, %oya
[n] Exponentially-weighted (11-day halftime) annualized volatility of FX forward returns, %
[o] Ratio of 11-day to 22-day halftime exponentially-weighted volatility of FX forward returns, p.p.
[p] ATM 1M implied FX options volatility, % deviation vs. past 3-month moving average

3.2.5 Czech koruna (CZK)

Czech koruna : macro factors as of 2019-01-13
USDCZK   comparison   historic averages
12m ago 3m ago 1m ago latest   EMAVG group   2003-2009 2010-2019
Valuation/fundamental and competitiveness
  Real FX vs. 5Y, % [a] 7.36 6.58 5.17 5.83   -2.99   11.53 -0.96
  Current account balance, % of GDP [b] 0.87 0.41 0.41 0.41   0.09   -3.49 -0.6
  Trade balance, % GDP [c] 8.68 7.53 7.69 7.69   0.29   0.52 7.53
  Trade balance, diff. oya [d] -1.41 -1.43 -1.03 -1.03   -0.82   0.8 0.63
  Excess GDP growth vs. US, % [e] 2.58 -0.65 -0.65 -0.65   0.14   1.88 0.03
  Excess GDP growth vs. potential, % [f] 2.34 -0.29 -0.29 -0.29   -0.36   -0.23 0.65
Carry and monetary policy
  Market-implied 3M FX carry, % [g] -3.51 -2 -2.32 -1.03   1.76   -0.4 -0.8
  Interest rates differentials, % [h] -0.93 -0.7 -0.72 -0.8   4.32   -0.31 0.03
  Real 3M FX carry, % [i] -3.77 -1.97 -2.2 -0.88   -0.02   -0.64 -0.5
  Carry-to-vol ratio [j] -0.39 -0.24 -0.29 -0.14   0.1   -0.11
  Excess inflation, % [k] 0.36 0.33 0.02 0.02   2.06   -0.67 -0.45
  Excess credit growth, %oya [l] -3.13 1.58 1.88 1.88   1.99   2.71 0.77
  Excess M1 growth, %oya [m] 2.83 -0.63 0.77 0.77   0.46   6.13 5.65
Market distress
  FX Fwd market, short-term vol., % [n] 9.04 8.22 7.86 7.13   7.73   9.97
  Volatility shock (ratio s-t/m-t) [o] 0.25 -0.07 0.04 -0.08   -0.16   0
  Implied FX vol deviation, % [p] -0.33 -0.96 -0.6 0.53   0.08   0.08 -0.13
[a] Real effective exchange rate, % change versus previous 5-years moving average
[b] Current account ratio, % of GDP, 12-month trailing
[c] Trade balance ratio, % of GDP, 12-month trailing
[d] Trade balance ratio, % of GDP, change over 12 months ago, in p.p.
[e] GDP growth trend versus base country (US), 3-month average, %oya
[f] GDP growth trend versus estimated potential (OECD), 3-month average, %oya
[g] FX Forward implied 3-month carry, annualized, capped at 20% p.a.
[h] Local 3-month nominal rate differentials over base currency (US), %
[i] Real FX carry: forward-implied carry, minus inflation expectation differential to base country (US)
[j] Carry-to-vol ratio (exponentially-weighted annualized std deviation of forwards returns)
[k] Broad (50% headline/ 50% core) annual inflation over target, p.p.
[l] Inflation-adjusted credit to private non-financial sector, growth in excess of real GDP growth, %oya
[m] Inflation-adjusted M1 growth in excess of real GDP growth, %oya
[n] Exponentially-weighted (11-day halftime) annualized volatility of FX forward returns, %
[o] Ratio of 11-day to 22-day halftime exponentially-weighted volatility of FX forward returns, p.p.
[p] ATM 1M implied FX options volatility, % deviation vs. past 3-month moving average

3.2.6 Hungarian forint (HUF)

Hungarian forint : macro factors as of 2019-01-13
USDHUF   comparison   historic averages
12m ago 3m ago 1m ago latest   EMAVG group   2003-2009 2010-2019
Valuation/fundamental and competitiveness
  Real FX vs. 5Y, % [a] 0.59 -1.08 -1.79 -0.81   -2.99   9.39 -3.45
  Current account balance, % of GDP [b] 3.16 1.8 1.8 1.8   0.09   -6.94 2.35
  Trade balance, % GDP [c] 6.48 5.14 4.96 4.96   0.29   -2.43 6.61
  Trade balance, diff. oya [d] -2.09 -1.77 -1.65 -1.65   -0.82   0.89 0.48
  Excess GDP growth vs. US, % [e] 2 1.94 1.94 1.94   0.14   -0.06 0.17
  Excess GDP growth vs. potential, % [f] 2.43 2.76 2.76 2.76   -0.36   -1.05 0.95
Carry and monetary policy
  Market-implied 3M FX carry, % [g] -2.06 -2.59 -2.86 -2.58   1.76   5 1.56
  Interest rates differentials, % [h] -1.66 -2.23 -2.61 -2.68   4.32   5.53 2.39
  Real 3M FX carry, % [i] -2.73 -3.25 -3.53 -3.27   -0.02   2.99 0.62
  Carry-to-vol ratio [j] -0.32 -0.31 -0.31 -0.33   0.1   0.08
  Excess inflation, % [k] -0.87 0.59 0.11 0.11   2.06   1.69 -0.61
  Excess credit growth, %oya [l] -9.12 -2.39 -1.91 -1.91   1.99   12.16 -5
  Excess M1 growth, %oya [m] 12.12 9.56 7.32 7.32   0.46   2.9 10.33
Market distress
  FX Fwd market, short-term vol., % [n] 6.51 8.35 9.11 7.81   7.73   11.96
  Volatility shock (ratio s-t/m-t) [o] -0.19 -0.22 0.16 -0.1   -0.16   -0.01
  Implied FX vol deviation, % [p] -0.52 -1.28 -0.63 0.33   0.08   0.25 -0.16
[a] Real effective exchange rate, % change versus previous 5-years moving average
[b] Current account ratio, % of GDP, 12-month trailing
[c] Trade balance ratio, % of GDP, 12-month trailing
[d] Trade balance ratio, % of GDP, change over 12 months ago, in p.p.
[e] GDP growth trend versus base country (US), 3-month average, %oya
[f] GDP growth trend versus estimated potential (OECD), 3-month average, %oya
[g] FX Forward implied 3-month carry, annualized, capped at 20% p.a.
[h] Local 3-month nominal rate differentials over base currency (US), %
[i] Real FX carry: forward-implied carry, minus inflation expectation differential to base country (US)
[j] Carry-to-vol ratio (exponentially-weighted annualized std deviation of forwards returns)
[k] Broad (50% headline/ 50% core) annual inflation over target, p.p.
[l] Inflation-adjusted credit to private non-financial sector, growth in excess of real GDP growth, %oya
[m] Inflation-adjusted M1 growth in excess of real GDP growth, %oya
[n] Exponentially-weighted (11-day halftime) annualized volatility of FX forward returns, %
[o] Ratio of 11-day to 22-day halftime exponentially-weighted volatility of FX forward returns, p.p.
[p] ATM 1M implied FX options volatility, % deviation vs. past 3-month moving average

3.2.7 Polish zloty (PLN)

Polish zloty : macro factors as of 2019-01-13
USDPLN   comparison   historic averages
12m ago 3m ago 1m ago latest   EMAVG group   2003-2009 2010-2019
Valuation/fundamental and competitiveness
  Real FX vs. 5Y, % [a] 2.27 -0.04 -0.78 -0.98   -2.99   2.42 -3.5
  Current account balance, % of GDP [b] 0.1 -0.51 -0.59 -0.59   0.09   -4.34 -2.3
  Trade balance, % GDP [c] 0.08 -0.8 -0.98 -0.98   0.29   -5.54 -1.27
  Trade balance, diff. oya [d] -1.05 -1.34 -1.53 -1.53   -0.82   0.25 0.54
  Excess GDP growth vs. US, % [e] 2.04 2.72 2.72 2.72   0.14   2.86 1.31
  Excess GDP growth vs. potential, % [f] 1.29 2.74 2.74 2.74   -0.36   0.78 0.28
Carry and monetary policy
  Market-implied 3M FX carry, % [g] -0.32 -0.84 -1 -0.85   1.76   2.08 1.73
  Interest rates differentials, % [h] 0.03 -0.68 -1.02 -1.09   4.32   2.33 2.15
  Real 3M FX carry, % [i] -0.27 -0.64 -0.74 -0.56   -0.02   1.99 1.64
  Carry-to-vol ratio [j] -0.05 -0.1 -0.12 -0.11   0.1   0.15
  Excess inflation, % [k] -0.44 -0.61 -1.22 -1.39   2.06   -0.02 -0.99
  Excess credit growth, %oya [l] -5.86 -3.04 -2.43 -2.26   1.99   7.87 1.39
  Excess M1 growth, %oya [m] 4.6 4.31 4.49 4.66   0.46   9.38 5.97
Market distress
  FX Fwd market, short-term vol., % [n] 6.49 8.52 8.65 7.52   7.73   11.62
  Volatility shock (ratio s-t/m-t) [o] -0.23 -0.21 0.02 -0.12   -0.16   -0.01
  Implied FX vol deviation, % [p] -0.84 -1.32 -0.68 0.37   0.08   0.26 -0.18
[a] Real effective exchange rate, % change versus previous 5-years moving average
[b] Current account ratio, % of GDP, 12-month trailing
[c] Trade balance ratio, % of GDP, 12-month trailing
[d] Trade balance ratio, % of GDP, change over 12 months ago, in p.p.
[e] GDP growth trend versus base country (US), 3-month average, %oya
[f] GDP growth trend versus estimated potential (OECD), 3-month average, %oya
[g] FX Forward implied 3-month carry, annualized, capped at 20% p.a.
[h] Local 3-month nominal rate differentials over base currency (US), %
[i] Real FX carry: forward-implied carry, minus inflation expectation differential to base country (US)
[j] Carry-to-vol ratio (exponentially-weighted annualized std deviation of forwards returns)
[k] Broad (50% headline/ 50% core) annual inflation over target, p.p.
[l] Inflation-adjusted credit to private non-financial sector, growth in excess of real GDP growth, %oya
[m] Inflation-adjusted M1 growth in excess of real GDP growth, %oya
[n] Exponentially-weighted (11-day halftime) annualized volatility of FX forward returns, %
[o] Ratio of 11-day to 22-day halftime exponentially-weighted volatility of FX forward returns, p.p.
[p] ATM 1M implied FX options volatility, % deviation vs. past 3-month moving average

3.2.8 Romanian leu (RON)

Romanian leu : macro factors as of 2019-01-13
USDRON   comparison   historic averages
12m ago 3m ago 1m ago latest   EMAVG group   2003-2009 2010-2019
Valuation/fundamental and competitiveness
  Real FX vs. 5Y, % [a] -2.77 0.36 -0.57 -0.34   -2.99   9.46 -2.26
  Current account balance, % of GDP [b] -3.15 -4.08 -4.33 -4.33   0.09   -8.79 -3.09
  Trade balance, % GDP [c] -5.24 -5.35 -5.79 -5.79   0.29   -9.82 -4.33
  Trade balance, diff. oya [d] -1.06 -0.49 -0.74 -0.74   -0.82   -0.22 0.3
  Excess GDP growth vs. US, % [e] 4.25 1.35 1.35 1.35   0.14   3.5 0.74
  Excess GDP growth vs. potential, % [f] 3.38 0.9 0.9 0.9   -0.36   0.55 -0.96
Carry and monetary policy
  Market-implied 3M FX carry, % [g] 0.67 0.67 0.32 0.34   1.76   5.27 2.1
  Interest rates differentials, % [h] 0.16 0.61 0.19 0.05   4.32   9.01 2.47
  Real 3M FX carry, % [i] 0.68 -0.35 -0.72 -0.71   -0.02   5.89 1.33
  Carry-to-vol ratio [j] 0.13 0.1 0.04 0.05   0.1   0.2
  Excess inflation, % [k] 0.82 2.53 0.93 0.93   2.06   1.28 -0.04
  Excess credit growth, %oya [l] -7.58 -6.29 -4.13 -4.13   1.99   -2.48 -4.35
  Excess M1 growth, %oya [m] 6.99 2.01 5.41 5.41   0.46   33.42 6.31
Market distress
  FX Fwd market, short-term vol., % [n] 5.03 6.82 7.36 6.62   7.73   9.14
  Volatility shock (ratio s-t/m-t) [o] -0.35 -0.15 0.15 -0.05   -0.16   -0.01
  Implied FX vol deviation, % [p] -0.11 -0.27 -0.38 0.18   0.08   0.14 -0.15
[a] Real effective exchange rate, % change versus previous 5-years moving average
[b] Current account ratio, % of GDP, 12-month trailing
[c] Trade balance ratio, % of GDP, 12-month trailing
[d] Trade balance ratio, % of GDP, change over 12 months ago, in p.p.
[e] GDP growth trend versus base country (US), 3-month average, %oya
[f] GDP growth trend versus estimated potential (OECD), 3-month average, %oya
[g] FX Forward implied 3-month carry, annualized, capped at 20% p.a.
[h] Local 3-month nominal rate differentials over base currency (US), %
[i] Real FX carry: forward-implied carry, minus inflation expectation differential to base country (US)
[j] Carry-to-vol ratio (exponentially-weighted annualized std deviation of forwards returns)
[k] Broad (50% headline/ 50% core) annual inflation over target, p.p.
[l] Inflation-adjusted credit to private non-financial sector, growth in excess of real GDP growth, %oya
[m] Inflation-adjusted M1 growth in excess of real GDP growth, %oya
[n] Exponentially-weighted (11-day halftime) annualized volatility of FX forward returns, %
[o] Ratio of 11-day to 22-day halftime exponentially-weighted volatility of FX forward returns, p.p.
[p] ATM 1M implied FX options volatility, % deviation vs. past 3-month moving average

3.3 EM Asia

3.3.1 Chinese renminbi (CNH)

Chinese renminbi : macro factors as of 2019-01-13
USDCNH   comparison   historic averages
12m ago 3m ago 1m ago latest   EMAVG group   2003-2009 2010-2019
Valuation/fundamental and competitiveness
  Real FX vs. 5Y, % [a] 0.47 -2.53 -3.38 -2.83   -2.99   0.12 6.97
  Current account balance, % of GDP [b] 1.34 0.42 0.42 0.42   0.09   6.11 2.22
  Trade balance, % GDP [c] 3.42 2.58 2.61 2.61   0.29   4.39 3.34
  Trade balance, diff. oya [d] -1.14 -0.99 -0.74 -0.74   -0.82   0.54 -0.32
  Excess GDP growth vs. US, % [e] 4.28 3.45 3.45 3.45   0.14   9.33 5.57
  Excess GDP growth vs. potential, % [f] -1.32 -1.12 -1.12 -1.12   -0.36   1.71 -1.47
Carry and monetary policy
  Market-implied 3M FX carry, % [g] 2.1 1.73 0.99 0.19   1.76   2.02
  Interest rates differentials, % [h] 3.22 0.44 0.38 0.55   4.32   -0.12 3.33
  Real 3M FX carry, % [i] 1.66 1.42 0.7 -0.09   -0.02   1.33
  Carry-to-vol ratio [j] 0.59 0.34 0.28 0.04   0.1   0.85
  Excess inflation, % [k] -1.3 -0.69 -0.91 -1.21   2.06   -0.36 -0.44
  Excess credit growth, %oya [l] 1.79 5.59 5.8 6.11   1.99   5.48 6.41
  Excess M1 growth, %oya [m] 3.31 -4.76 -7.06 -6.76   0.46   3.39 2.06
Market distress
  FX Fwd market, short-term vol., % [n] 3.59 5.16 3.54 4.35   7.73   3.09
  Volatility shock (ratio s-t/m-t) [o] -0.09 -0.35 -0.28 0.07   -0.16   0.07
  Implied FX vol deviation, % [p] -0.22 -1.73 1.29 -0.33   0.08   0.08
[a] Real effective exchange rate, % change versus previous 5-years moving average
[b] Current account ratio, % of GDP, 12-month trailing
[c] Trade balance ratio, % of GDP, 12-month trailing
[d] Trade balance ratio, % of GDP, change over 12 months ago, in p.p.
[e] GDP growth trend versus base country (US), 3-month average, %oya
[f] GDP growth trend versus estimated potential (OECD), 3-month average, %oya
[g] FX Forward implied 3-month carry, annualized, capped at 20% p.a.
[h] Local 3-month nominal rate differentials over base currency (US), %
[i] Real FX carry: forward-implied carry, minus inflation expectation differential to base country (US)
[j] Carry-to-vol ratio (exponentially-weighted annualized std deviation of forwards returns)
[k] Broad (50% headline/ 50% core) annual inflation over target, p.p.
[l] Inflation-adjusted credit to private non-financial sector, growth in excess of real GDP growth, %oya
[m] Inflation-adjusted M1 growth in excess of real GDP growth, %oya
[n] Exponentially-weighted (11-day halftime) annualized volatility of FX forward returns, %
[o] Ratio of 11-day to 22-day halftime exponentially-weighted volatility of FX forward returns, p.p.
[p] ATM 1M implied FX options volatility, % deviation vs. past 3-month moving average

3.3.2 Indian rupee (INR)

Indian rupee : macro factors as of 2019-01-13
USDINR   comparison   historic averages
12m ago 3m ago 1m ago latest   EMAVG group   2003-2009 2010-2019
Valuation/fundamental and competitiveness
  Real FX vs. 5Y, % [a] 8.43 -1.7 3.55 2.21   -2.99   1.33 5.62
  Current account balance, % of GDP [b] -1.56 -2.31 -2.31 -2.31   0.09   -0.59 -2.4
  Trade balance, % GDP [c] -6 -6.76 -6.91 -6.91   0.29   -5.53 -7.36
  Trade balance, diff. oya [d] -1.62 -0.9 -0.98 -0.98   -0.82   -1.07 0.25
  Excess GDP growth vs. US, % [e] 4.5 4.1 4.1 4.1   0.14   6.03 5.09
  Excess GDP growth vs. potential, % [f] -0.13 0.18 0.18 0.18   -0.36   1.02 -0.41
Carry and monetary policy
  Market-implied 3M FX carry, % [g] 3.14 5.77 4.04 4.16   1.76   2.59 5.8
  Interest rates differentials, % [h] 4.82 5.2 4.76 4.66   4.32   4.09 7.41
  Real 3M FX carry, % [i] 1.2 3.4 1.72 1.9   -0.02   1.89
  Carry-to-vol ratio [j] 0.92 0.77 0.47 0.45   0.1   1.03
  Excess inflation, % [k] 1.21 -0.3 -1.67 -1.67   2.06   0.04 1.3
  Excess credit growth, %oya [l] -3.66 1.81 3.18 3.18   1.99   7.85 -1
  Excess M1 growth, %oya [m] 32.52 3.77 6.72 4.15   0.46   2.81 -3.08
Market distress
  FX Fwd market, short-term vol., % [n] 3.39 7.48 8.57 9.25   7.73   6.55
  Volatility shock (ratio s-t/m-t) [o] -0.23 0.21 0.32 0.14   -0.16   0.02
  Implied FX vol deviation, % [p] -0.88 0.91 0.5 0.89   0.08   0.15 -0.05
[a] Real effective exchange rate, % change versus previous 5-years moving average
[b] Current account ratio, % of GDP, 12-month trailing
[c] Trade balance ratio, % of GDP, 12-month trailing
[d] Trade balance ratio, % of GDP, change over 12 months ago, in p.p.
[e] GDP growth trend versus base country (US), 3-month average, %oya
[f] GDP growth trend versus estimated potential (OECD), 3-month average, %oya
[g] FX Forward implied 3-month carry, annualized, capped at 20% p.a.
[h] Local 3-month nominal rate differentials over base currency (US), %
[i] Real FX carry: forward-implied carry, minus inflation expectation differential to base country (US)
[j] Carry-to-vol ratio (exponentially-weighted annualized std deviation of forwards returns)
[k] Broad (50% headline/ 50% core) annual inflation over target, p.p.
[l] Inflation-adjusted credit to private non-financial sector, growth in excess of real GDP growth, %oya
[m] Inflation-adjusted M1 growth in excess of real GDP growth, %oya
[n] Exponentially-weighted (11-day halftime) annualized volatility of FX forward returns, %
[o] Ratio of 11-day to 22-day halftime exponentially-weighted volatility of FX forward returns, p.p.
[p] ATM 1M implied FX options volatility, % deviation vs. past 3-month moving average

3.3.3 Indonesian rupiah (IDR)

Indonesian rupiah : macro factors as of 2019-01-13
USDIDR   comparison   historic averages
12m ago 3m ago 1m ago latest   EMAVG group   2003-2009 2010-2019
Valuation/fundamental and competitiveness
  Real FX vs. 5Y, % [a] -0.48 -4.69 0.83 -0.86   -2.99   8.38 -0.01
  Current account balance, % of GDP [b] -1.7 -2.72 -2.72 -2.72   0.09   1.63 -1.58
  Trade balance, % GDP [c] 1.17 -0.26 -0.74 -0.74   0.29   7.95 1.04
  Trade balance, diff. oya [d] 0.14 -1.66 -2.04 -2.04   -0.82   -1.64 -0.23
  Excess GDP growth vs. US, % [e] 2.71 2.17 2.17 2.17   0.14   3.89 3.23
  Excess GDP growth vs. potential, % [f] -0.31 -0.07 -0.07 -0.07   -0.36   0.8 -0.22
Carry and monetary policy
  Market-implied 3M FX carry, % [g] 2.66 5.97 3.78 4.73   1.76   5.84 5.61
  Interest rates differentials, % [h] 3.79 4.95 4.94 4.9   4.32   6.65 5.92
  Real 3M FX carry, % [i] 0.92 4.56 2.42 3.38   -0.02   0.5 3.02
  Carry-to-vol ratio [j] 2.1 0.94 0.39 0.54   0.1   1.11
  Excess inflation, % [k] -0.39 -1.12 -0.77 -0.87   2.06   1.95 0.52
  Excess credit growth, %oya [l] -2.15 1.83 1.49 1.58   1.99   4.89 6
  Excess M1 growth, %oya [m] 3.58 0.17 -3.38 -3.28   0.46   1.38 2.51
Market distress
  FX Fwd market, short-term vol., % [n] 1.27 6.34 9.61 8.77   7.73   6.04
  Volatility shock (ratio s-t/m-t) [o] -0.59 0.1 0.46 -0.07   -0.16   0.04
  Implied FX vol deviation, % [p] -1.48 -0.37 -0.18 0.51   0.08   -0.13 -0.07
[a] Real effective exchange rate, % change versus previous 5-years moving average
[b] Current account ratio, % of GDP, 12-month trailing
[c] Trade balance ratio, % of GDP, 12-month trailing
[d] Trade balance ratio, % of GDP, change over 12 months ago, in p.p.
[e] GDP growth trend versus base country (US), 3-month average, %oya
[f] GDP growth trend versus estimated potential (OECD), 3-month average, %oya
[g] FX Forward implied 3-month carry, annualized, capped at 20% p.a.
[h] Local 3-month nominal rate differentials over base currency (US), %
[i] Real FX carry: forward-implied carry, minus inflation expectation differential to base country (US)
[j] Carry-to-vol ratio (exponentially-weighted annualized std deviation of forwards returns)
[k] Broad (50% headline/ 50% core) annual inflation over target, p.p.
[l] Inflation-adjusted credit to private non-financial sector, growth in excess of real GDP growth, %oya
[m] Inflation-adjusted M1 growth in excess of real GDP growth, %oya
[n] Exponentially-weighted (11-day halftime) annualized volatility of FX forward returns, %
[o] Ratio of 11-day to 22-day halftime exponentially-weighted volatility of FX forward returns, p.p.
[p] ATM 1M implied FX options volatility, % deviation vs. past 3-month moving average

3.3.4 Malaysian ringgit (MYR)

Malaysian ringgit : macro factors as of 2019-01-13
USDMYR   comparison   historic averages
12m ago 3m ago 1m ago latest   EMAVG group   2003-2009 2010-2019
Valuation/fundamental and competitiveness
  Real FX vs. 5Y, % [a] -3.94 -3.08 -2.61 -2.07   -2.99   -1.44 -2.38
  Current account balance, % of GDP [b] 3 2.59 2.59 2.59   0.09   13.66 5.61
  Trade balance, % GDP [c] 7.29 8.03 8.31 8.31   0.29   16.94 9.51
  Trade balance, diff. oya [d] 0.14 0.53 0.88 0.88   -0.82   0.55 -1
  Excess GDP growth vs. US, % [e] 3.46 1.35 1.35 1.35   0.14   2.94 3.19
  Excess GDP growth vs. potential, % [f] 0.75 -0.87 -0.87 -0.87   -0.36   -1.33 0.11
Carry and monetary policy
  Market-implied 3M FX carry, % [g] -0.23 0.31 0.66 -0.24   1.76   -0.74 1.62
  Interest rates differentials, % [h] 1.75 1.29 0.95 0.88   4.32   0.23 2.66
  Real 3M FX carry, % [i] -0.89 0.51 1.08 0.28   -0.02   -0.44 1.19
  Carry-to-vol ratio [j] -0.05 0.13 0.22 -0.06   0.1   0.32
  Excess inflation, % [k] 1.01 -2.17 -2.33 -2.33   2.06   -0.04 -0.19
  Excess credit growth, %oya [l] -2.88 2.6 2.77 2.77   1.99   0.23 1.22
  Excess M1 growth, %oya [m] 1.58 -0.55 -1.2 -1.2   0.46   5.09 1.63
Market distress
  FX Fwd market, short-term vol., % [n] 4.27 2.33 2.94 3.76   7.73   6.14
  Volatility shock (ratio s-t/m-t) [o] 0.02 -0.15 0.28 0.34   -0.16   0.01
  Implied FX vol deviation, % [p] -0.17 -0.14 0.68 0.3   0.08   0.21 -0.03
[a] Real effective exchange rate, % change versus previous 5-years moving average
[b] Current account ratio, % of GDP, 12-month trailing
[c] Trade balance ratio, % of GDP, 12-month trailing
[d] Trade balance ratio, % of GDP, change over 12 months ago, in p.p.
[e] GDP growth trend versus base country (US), 3-month average, %oya
[f] GDP growth trend versus estimated potential (OECD), 3-month average, %oya
[g] FX Forward implied 3-month carry, annualized, capped at 20% p.a.
[h] Local 3-month nominal rate differentials over base currency (US), %
[i] Real FX carry: forward-implied carry, minus inflation expectation differential to base country (US)
[j] Carry-to-vol ratio (exponentially-weighted annualized std deviation of forwards returns)
[k] Broad (50% headline/ 50% core) annual inflation over target, p.p.
[l] Inflation-adjusted credit to private non-financial sector, growth in excess of real GDP growth, %oya
[m] Inflation-adjusted M1 growth in excess of real GDP growth, %oya
[n] Exponentially-weighted (11-day halftime) annualized volatility of FX forward returns, %
[o] Ratio of 11-day to 22-day halftime exponentially-weighted volatility of FX forward returns, p.p.
[p] ATM 1M implied FX options volatility, % deviation vs. past 3-month moving average

3.3.5 Thai baht (THB)

Thai baht : macro factors as of 2019-01-13
USDTHB   comparison   historic averages
12m ago 3m ago 1m ago latest   EMAVG group   2003-2009 2010-2019
Valuation/fundamental and competitiveness
  Real FX vs. 5Y, % [a] 1.74 6.15 4.46 4.8   -2.99   4.36 1.74
  Current account balance, % of GDP [b] 11.01 7.67 7.67 7.67   0.09   -1.02 5.1
  Trade balance, % GDP [c] 3.31 0.94 0.23 0.23   0.29   1.61 0.56
  Trade balance, diff. oya [d] -1.83 -2.71 -3.39 -3.39   -0.82   0.1 -0.23
  Excess GDP growth vs. US, % [e] 1.52 0.34 0.34 0.34   0.14   2.41 1.51
  Excess GDP growth vs. potential, % [f] 1.22 0.43 0.43 0.43   -0.36   -0.86 0.11
Carry and monetary policy
  Market-implied 3M FX carry, % [g] -1.33 -1.32 -0.98 -1.14   1.76   1.53 1.27
  Interest rates differentials, % [h] -0.12 -0.81 -1.12 -0.94   4.32   0.02 1.43
  Real 3M FX carry, % [i] -0.89 -0.9 -0.54 -0.69   -0.02   1.79 1.39
  Carry-to-vol ratio [j] -0.46 -0.35 -0.25 -0.47   0.1   0.31
  Excess inflation, % [k] -1.88 -1.7 -1.81 -1.82   2.06   -0.6 -0.86
  Excess credit growth, %oya [l] -0.9 0.45 0.85 1.43   1.99   -1.13 2.97
  Excess M1 growth, %oya [m] 4.6 -0.96 -1.66 -1.08   0.46   1.8 1.83
Market distress
  FX Fwd market, short-term vol., % [n] 2.89 3.8 3.91 2.43   7.73   4.47
  Volatility shock (ratio s-t/m-t) [o] -0.01 -0.23 -0.25 -0.46   -0.16   0.01
  Implied FX vol deviation, % [p] 0.23 -1.11 0.2 -0.18   0.08   -0.01 0
[a] Real effective exchange rate, % change versus previous 5-years moving average
[b] Current account ratio, % of GDP, 12-month trailing
[c] Trade balance ratio, % of GDP, 12-month trailing
[d] Trade balance ratio, % of GDP, change over 12 months ago, in p.p.
[e] GDP growth trend versus base country (US), 3-month average, %oya
[f] GDP growth trend versus estimated potential (OECD), 3-month average, %oya
[g] FX Forward implied 3-month carry, annualized, capped at 20% p.a.
[h] Local 3-month nominal rate differentials over base currency (US), %
[i] Real FX carry: forward-implied carry, minus inflation expectation differential to base country (US)
[j] Carry-to-vol ratio (exponentially-weighted annualized std deviation of forwards returns)
[k] Broad (50% headline/ 50% core) annual inflation over target, p.p.
[l] Inflation-adjusted credit to private non-financial sector, growth in excess of real GDP growth, %oya
[m] Inflation-adjusted M1 growth in excess of real GDP growth, %oya
[n] Exponentially-weighted (11-day halftime) annualized volatility of FX forward returns, %
[o] Ratio of 11-day to 22-day halftime exponentially-weighted volatility of FX forward returns, p.p.
[p] ATM 1M implied FX options volatility, % deviation vs. past 3-month moving average

3.3.6 Taiwanese dollar (TWD)

Taiwanese dollar : macro factors as of 2019-01-13
USDTWD   comparison   historic averages
12m ago 3m ago 1m ago latest   EMAVG group   2003-2009 2010-2019
Valuation/fundamental and competitiveness
  Real FX vs. 5Y, % [a] 4.04 3.88 2.81 2.6   -2.99   -6.74 -0.3
  Current account balance, % of GDP [b] 14.41 12.79 12.79 12.79   0.09   6.73 11.08
  Trade balance, % GDP [c] 5.73 4.47 3.95 3.75   0.29   2.37 3.09
  Trade balance, diff. oya [d] 0.64 -0.74 -1.6 -1.99   -0.82   -0.36 0.24
  Excess GDP growth vs. US, % [e] 1.01 -0.74 -0.74 -0.74   0.14   2.21 1.21
  Excess GDP growth vs. potential, % [f] 1.23 0.13 0.13 0.13   -0.36   -1.78 -0.27
Carry and monetary policy
  Market-implied 3M FX carry, % [g] -4.35 -2.8 -3.37 -2.43   1.76   -2.31 -1.61
  Interest rates differentials, % [h] -1.04 -1.74 -2.07 -2.14   4.32   -1.94 0.06
  Real 3M FX carry, % [i] -3.28 -1.87 -2.42 -1.43   -0.02   -1.19 -0.71
  Carry-to-vol ratio [j] -2.12 -1.17 -1.1 -0.99   0.1   -0.48
  Excess inflation, % [k] 0.22 0.72 -0.7 -1.05   2.06   0.25 0.04
  Excess credit growth, %oya [l] 0.06 1.99 3.25 3.61   1.99   -0.2 0.23
  Excess M1 growth, %oya [m] -1.21 1.46 2.86 3.22   0.46   3.94 2.43
Market distress
  FX Fwd market, short-term vol., % [n] 2.06 2.39 3.08 2.45   7.73   3.83
  Volatility shock (ratio s-t/m-t) [o] 0.05 -0.22 -0.16 -0.29   -0.16   0
  Implied FX vol deviation, % [p] 0.19 -1.02 0.67 0.03   0.08   0.06 -0.02
[a] Real effective exchange rate, % change versus previous 5-years moving average
[b] Current account ratio, % of GDP, 12-month trailing
[c] Trade balance ratio, % of GDP, 12-month trailing
[d] Trade balance ratio, % of GDP, change over 12 months ago, in p.p.
[e] GDP growth trend versus base country (US), 3-month average, %oya
[f] GDP growth trend versus estimated potential (OECD), 3-month average, %oya
[g] FX Forward implied 3-month carry, annualized, capped at 20% p.a.
[h] Local 3-month nominal rate differentials over base currency (US), %
[i] Real FX carry: forward-implied carry, minus inflation expectation differential to base country (US)
[j] Carry-to-vol ratio (exponentially-weighted annualized std deviation of forwards returns)
[k] Broad (50% headline/ 50% core) annual inflation over target, p.p.
[l] Inflation-adjusted credit to private non-financial sector, growth in excess of real GDP growth, %oya
[m] Inflation-adjusted M1 growth in excess of real GDP growth, %oya
[n] Exponentially-weighted (11-day halftime) annualized volatility of FX forward returns, %
[o] Ratio of 11-day to 22-day halftime exponentially-weighted volatility of FX forward returns, p.p.
[p] ATM 1M implied FX options volatility, % deviation vs. past 3-month moving average

3.3.7 Korean won (KRW)

Korean won : macro factors as of 2019-01-13
USDKRW   comparison   historic averages
12m ago 3m ago 1m ago latest   EMAVG group   2003-2009 2010-2019
Valuation/fundamental and competitiveness
  Real FX vs. 5Y, % [a] 5.31 4.47 3.08 1.9   -2.99   1.64 0.82
  Current account balance, % of GDP [b] 5.12 4.63 4.7 4.7   0.09   1.63 4.88
  Trade balance, % GDP [c] 6.21 4.62 4.42 4.36   0.29   1.88 4.3
  Trade balance, diff. oya [d] -0.09 -1.84 -1.92 -1.85   -0.82   0.02 0.38
  Excess GDP growth vs. US, % [e] 0.32 -1.04 -1.04 -1.04   0.14   1.97 1.08
  Excess GDP growth vs. potential, % [f] -0.42 -1.23 -1.23 -1.23   -0.36   -0.49 -0.2
Carry and monetary policy
  Market-implied 3M FX carry, % [g] -0.54 -0.93 -1.34 -1.12   1.76   0.37 1.1
  Interest rates differentials, % [h] 0.01 -0.69 -0.89 -0.91   4.32   0.8 1.61
  Real 3M FX carry, % [i] -0.4 -0.46 -0.87 -0.63   -0.02   -0.47 0.65
  Carry-to-vol ratio [j] -0.11 -0.16 -0.2 -0.18   0.1   0.16
  Excess inflation, % [k] -0.59 0.09 0.04 -0.68   2.06   0.15 -0.8
  Excess credit growth, %oya [l] 1.4 1.81 1.86 2.58   1.99   2.57 0.9
  Excess M1 growth, %oya [m] 2.63 -2.11 -2.03 -1.32   0.46   -1.97 4.77
Market distress
  FX Fwd market, short-term vol., % [n] 5.06 5.71 6.81 6.23   7.73   7.64
  Volatility shock (ratio s-t/m-t) [o] -0.26 -0.12 -0.05 -0.12   -0.16   0
  Implied FX vol deviation, % [p] -0.48 -0.98 0.61 0.29   0.08   0.1 -0.08
[a] Real effective exchange rate, % change versus previous 5-years moving average
[b] Current account ratio, % of GDP, 12-month trailing
[c] Trade balance ratio, % of GDP, 12-month trailing
[d] Trade balance ratio, % of GDP, change over 12 months ago, in p.p.
[e] GDP growth trend versus base country (US), 3-month average, %oya
[f] GDP growth trend versus estimated potential (OECD), 3-month average, %oya
[g] FX Forward implied 3-month carry, annualized, capped at 20% p.a.
[h] Local 3-month nominal rate differentials over base currency (US), %
[i] Real FX carry: forward-implied carry, minus inflation expectation differential to base country (US)
[j] Carry-to-vol ratio (exponentially-weighted annualized std deviation of forwards returns)
[k] Broad (50% headline/ 50% core) annual inflation over target, p.p.
[l] Inflation-adjusted credit to private non-financial sector, growth in excess of real GDP growth, %oya
[m] Inflation-adjusted M1 growth in excess of real GDP growth, %oya
[n] Exponentially-weighted (11-day halftime) annualized volatility of FX forward returns, %
[o] Ratio of 11-day to 22-day halftime exponentially-weighted volatility of FX forward returns, p.p.
[p] ATM 1M implied FX options volatility, % deviation vs. past 3-month moving average

3.3.8 Philippine peso (PHP)

Philippine peso : macro factors as of 2019-01-13
USDPHP   comparison   historic averages
12m ago 3m ago 1m ago latest   EMAVG group   2003-2009 2010-2019
Valuation/fundamental and competitiveness
  Real FX vs. 5Y, % [a] -5.75 -5.45 -1.69 -2.74   -2.99   3.07 3.44
  Current account balance, % of GDP [b] -0.69 -2.95 -2.95 -2.95   0.09   3.74 2.11
  Trade balance, % GDP [c] -8.69 -12.11 -12.76 -12.76   0.29   -4.47 -4.85
  Trade balance, diff. oya [d] 0.07 -4.12 -4.47 -4.47   -0.82   -0.19 -0.81
  Excess GDP growth vs. US, % [e] 4.03 3.11 3.11 3.11   0.14   3.05 4.1
  Excess GDP growth vs. potential, % [f] 0.11 -0.42 -0.42 -0.42   -0.36   0.45 0.71
Carry and monetary policy
  Market-implied 3M FX carry, % [g] 0.79 3.84 1.77 2.48   1.76   3.89 1.7
  Interest rates differentials, % [h] 1.57 2.47 2.52 3.07   4.32   3.46 1.63
  Real 3M FX carry, % [i] 0.01 2.51 0.23 0.86   -0.02   0.98
  Carry-to-vol ratio [j] 0.24 1 0.34 0.61   0.1   0.37
  Excess inflation, % [k] -0.09 3.7 3.03 2.13   2.06   0.88 -0.51
  Excess credit growth, %oya [l] 9.99 4.79 4.61 5.51   1.99   -7.5 6.79
  Excess M1 growth, %oya [m] 6.27 -1.41 -2.68 -1.78   0.46   4.3 5.31
Market distress
  FX Fwd market, short-term vol., % [n] 3.32 3.83 5.22 4.08   7.73   4.75
  Volatility shock (ratio s-t/m-t) [o] -0.11 0.26 0.5 -0.18   -0.16   0
  Implied FX vol deviation, % [p] -0.62 0.37 0.38 0.06   0.08   0.05 -0.09
[a] Real effective exchange rate, % change versus previous 5-years moving average
[b] Current account ratio, % of GDP, 12-month trailing
[c] Trade balance ratio, % of GDP, 12-month trailing
[d] Trade balance ratio, % of GDP, change over 12 months ago, in p.p.
[e] GDP growth trend versus base country (US), 3-month average, %oya
[f] GDP growth trend versus estimated potential (OECD), 3-month average, %oya
[g] FX Forward implied 3-month carry, annualized, capped at 20% p.a.
[h] Local 3-month nominal rate differentials over base currency (US), %
[i] Real FX carry: forward-implied carry, minus inflation expectation differential to base country (US)
[j] Carry-to-vol ratio (exponentially-weighted annualized std deviation of forwards returns)
[k] Broad (50% headline/ 50% core) annual inflation over target, p.p.
[l] Inflation-adjusted credit to private non-financial sector, growth in excess of real GDP growth, %oya
[m] Inflation-adjusted M1 growth in excess of real GDP growth, %oya
[n] Exponentially-weighted (11-day halftime) annualized volatility of FX forward returns, %
[o] Ratio of 11-day to 22-day halftime exponentially-weighted volatility of FX forward returns, p.p.
[p] ATM 1M implied FX options volatility, % deviation vs. past 3-month moving average

3.4 G10 markets

3.4.1 Australian dollar (AUD)

Australian dollar : macro factors as of 2019-01-13
USDAUD   comparison   historic averages
12m ago 3m ago 1m ago latest   DMAVG group   2003-2009 2010-2019
Valuation/fundamental and competitiveness
  Real FX vs. 5Y, % [a] -2.72 -4.84 -2.15 -6.28   -3.09   9.83 0.29
  Current account balance, % of GDP [b] -2.59 -2.59 -2.59 -2.59   1.56   -5.61 -3.55
  Trade balance, % GDP [c] 0.7 1.69 1.8 1.8   1.27   -1.56 0.75
  Trade balance, diff. oya [d] 0.45 0.56 0.84 0.84   0.1   0.05 0.08
  Excess GDP growth vs. US, % [e] -0.09 -0.24 -0.24 -0.24   -1.23   1.33 0.46
  Excess GDP growth vs. potential, % [f] -0.17 0.4 0.4 0.4   -0.08   -0.11 -0.12
Carry and monetary policy
  Market-implied 3M FX carry, % [g] 0.11 -0.21 -0.57 -0.51   -1.91   2.64 2.31
  Interest rates differentials, % [h] 0.1 -0.46 -0.79 -0.72   -2   2.68 2.26
  Real 3M FX carry, % [i] -0.06 -0.27 -0.57 -0.48   -1.6   2.16 1.82
  Carry-to-vol ratio [j] 0.02 -0.03 -0.06 -0.07   -0.25   0.23
  Excess inflation, % [k] -0.59 -0.61 -0.61 -0.61   -0.21   0.33 -0.32
  Excess credit growth, %oya [l] -1.31 -1.14 -1.14 -1.14   0.61   5.61 0.08
  Excess M1 growth, %oya [m] 1.09 -3.8 -5.54 -5.54   1.93   1.04 -0.16
Market distress
  FX Fwd market, short-term vol., % [n] 5.74 8.28 9.22 7.71   7.59   9.7
  Volatility shock (ratio s-t/m-t) [o] -0.12 -0.13 0.15 -0.16   0.02   -0.01
  Implied FX vol deviation, % [p] -0.94 -0.46 0.35 1.2   1.13   0.16 -0.1
[a] Real effective exchange rate, % change versus previous 5-years moving average
[b] Current account ratio, % of GDP, 12-month trailing
[c] Trade balance ratio, % of GDP, 12-month trailing
[d] Trade balance ratio, % of GDP, change over 12 months ago, in p.p.
[e] GDP growth trend versus base country (US), 3-month average, %oya
[f] GDP growth trend versus estimated potential (OECD), 3-month average, %oya
[g] FX Forward implied 3-month carry, annualized, capped at 20% p.a.
[h] Local 3-month nominal rate differentials over base currency (US), %
[i] Real FX carry: forward-implied carry, minus inflation expectation differential to base country (US)
[j] Carry-to-vol ratio (exponentially-weighted annualized std deviation of forwards returns)
[k] Broad (50% headline/ 50% core) annual inflation over target, p.p.
[l] Inflation-adjusted credit to private non-financial sector, growth in excess of real GDP growth, %oya
[m] Inflation-adjusted M1 growth in excess of real GDP growth, %oya
[n] Exponentially-weighted (11-day halftime) annualized volatility of FX forward returns, %
[o] Ratio of 11-day to 22-day halftime exponentially-weighted volatility of FX forward returns, p.p.
[p] ATM 1M implied FX options volatility, % deviation vs. past 3-month moving average

3.4.2 Canadian dollar (CAD)

Canadian dollar : macro factors as of 2019-01-13
USDCAD   comparison   historic averages
12m ago 3m ago 1m ago latest   DMAVG group   2003-2009 2010-2019
Valuation/fundamental and competitiveness
  Real FX vs. 5Y, % [a] -3.26 -2.06 -3.71 -6.7   -3.09   8.79 -3.71
  Current account balance, % of GDP [b] -2.81 -2.73 -2.73 -2.73   1.56   0.96 -3.14
  Trade balance, % GDP [c] -1.16 -1.06 -0.99 -0.99   1.27   3.44 -0.65
  Trade balance, diff. oya [d] 0.11 -0.22 0.03 0.03   0.1   -0.62 -0.23
  Excess GDP growth vs. US, % [e] 0.4 -0.94 -0.94 -0.94   -1.23   -0.2 -0.02
  Excess GDP growth vs. potential, % [f] 1.06 0.34 0.34 0.34   -0.08   -0.94 0.24
Carry and monetary policy
  Market-implied 3M FX carry, % [g] -0.56 -0.66 -0.76 -0.79   -1.91   0.05 0.31
  Interest rates differentials, % [h] -0.15 -0.38 -0.49 -0.5   -2   0.04 0.51
  Real 3M FX carry, % [i] -0.37 -0.55 -0.65 -0.67   -1.6   0.28 0.4
  Carry-to-vol ratio [j] -0.08 -0.09 -0.14 -0.15   -0.25   0.05
  Excess inflation, % [k] -0.13 0.22 -0.32 -0.32   -0.21   -0.05 -0.28
  Excess credit growth, %oya [l] 1.85 0.83 1.37 1.37   0.61   3.09 1.95
  Excess M1 growth, %oya [m] 2.84 0.42 1.01 1.01   1.93   4.57 4.42
Market distress
  FX Fwd market, short-term vol., % [n] 6.71 7.12 5.4 5.25   7.59   7.48
  Volatility shock (ratio s-t/m-t) [o] 0.03 0.06 -0.12 -0.1   0.02   0
  Implied FX vol deviation, % [p] 0.21 -0.26 -0.28 1.14   1.13   0.18 -0.12
[a] Real effective exchange rate, % change versus previous 5-years moving average
[b] Current account ratio, % of GDP, 12-month trailing
[c] Trade balance ratio, % of GDP, 12-month trailing
[d] Trade balance ratio, % of GDP, change over 12 months ago, in p.p.
[e] GDP growth trend versus base country (US), 3-month average, %oya
[f] GDP growth trend versus estimated potential (OECD), 3-month average, %oya
[g] FX Forward implied 3-month carry, annualized, capped at 20% p.a.
[h] Local 3-month nominal rate differentials over base currency (US), %
[i] Real FX carry: forward-implied carry, minus inflation expectation differential to base country (US)
[j] Carry-to-vol ratio (exponentially-weighted annualized std deviation of forwards returns)
[k] Broad (50% headline/ 50% core) annual inflation over target, p.p.
[l] Inflation-adjusted credit to private non-financial sector, growth in excess of real GDP growth, %oya
[m] Inflation-adjusted M1 growth in excess of real GDP growth, %oya
[n] Exponentially-weighted (11-day halftime) annualized volatility of FX forward returns, %
[o] Ratio of 11-day to 22-day halftime exponentially-weighted volatility of FX forward returns, p.p.
[p] ATM 1M implied FX options volatility, % deviation vs. past 3-month moving average

3.4.3 Swiss franc (CHF)

Swiss franc : macro factors as of 2019-01-13
USDCHF   comparison   historic averages
12m ago 3m ago 1m ago latest   DMAVG group   2003-2009 2010-2019
Valuation/fundamental and competitiveness
  Real FX vs. 5Y, % [a] -3.9 -1.06 -1.92 -1.73   -3.09   -0.98 3.53
  Current account balance, % of GDP [b] 6.68 9.97 9.97 9.97   1.56   10.65 10.09
  Trade balance, % GDP [c] 5.2 4.13 4.61 4.61   1.27   2.22 4.38
  Trade balance, diff. oya [d] -0.39 -1.28 -0.62 -0.62   0.1   0.32 0.14
  Excess GDP growth vs. US, % [e] 0.17 -0.85 -0.85 -0.85   -1.23   0.24 -0.32
  Excess GDP growth vs. potential, % [f] 1.07 0.65 0.65 0.65   -0.08   -0.11 0.13
Carry and monetary policy
  Market-implied 3M FX carry, % [g] -2.92 -3.28 -3.59 -3.36   -1.91   -1.71 -1.25
  Interest rates differentials, % [h] -2.44 -3.13 -3.47 -3.52   -2   -1.69 -0.99
  Real 3M FX carry, % [i] -1.88 -2.27 -2.55 -2.31   -1.6   -0.7 -0.09
  Carry-to-vol ratio [j] -0.47 -0.42 -0.74 -0.48   -0.25   -0.18
  Excess inflation, % [k] -0.66 -0.51 -0.58 -0.81   -0.21   -0.59 -1.51
  Excess credit growth, %oya [l] 1.88 2.42 2.49 2.72   0.61   1.71 1.92
  Excess M1 growth, %oya [m] 3.68 1.68 1.97 2.2   1.93   5.86 4.45
Market distress
  FX Fwd market, short-term vol., % [n] 6.19 7.84 4.88 7.03   7.59   9.32
  Volatility shock (ratio s-t/m-t) [o] -0.05 0.52 -0.17 0.28   0.02   0.04
  Implied FX vol deviation, % [p] -0.35 0.57 -0.44 0.82   1.13   0.03 -0.08
[a] Real effective exchange rate, % change versus previous 5-years moving average
[b] Current account ratio, % of GDP, 12-month trailing
[c] Trade balance ratio, % of GDP, 12-month trailing
[d] Trade balance ratio, % of GDP, change over 12 months ago, in p.p.
[e] GDP growth trend versus base country (US), 3-month average, %oya
[f] GDP growth trend versus estimated potential (OECD), 3-month average, %oya
[g] FX Forward implied 3-month carry, annualized, capped at 20% p.a.
[h] Local 3-month nominal rate differentials over base currency (US), %
[i] Real FX carry: forward-implied carry, minus inflation expectation differential to base country (US)
[j] Carry-to-vol ratio (exponentially-weighted annualized std deviation of forwards returns)
[k] Broad (50% headline/ 50% core) annual inflation over target, p.p.
[l] Inflation-adjusted credit to private non-financial sector, growth in excess of real GDP growth, %oya
[m] Inflation-adjusted M1 growth in excess of real GDP growth, %oya
[n] Exponentially-weighted (11-day halftime) annualized volatility of FX forward returns, %
[o] Ratio of 11-day to 22-day halftime exponentially-weighted volatility of FX forward returns, p.p.
[p] ATM 1M implied FX options volatility, % deviation vs. past 3-month moving average

3.4.4 Euro (EUR)

Euro : macro factors as of 2019-01-13
USDEUR   comparison   historic averages
12m ago 3m ago 1m ago latest   DMAVG group   2003-2009 2010-2019
Valuation/fundamental and competitiveness
  Real FX vs. 5Y, % [a] 1.47 3.02 1.47 2.06   -3.09   5.83 -4.12
  Current account balance, % of GDP [b] 3.29 3.27 3.16 3.16   1.56   -0.08 1.9
  Trade balance, % GDP [c] 2.11 1.81 1.77 1.77   1.27   0.12 1.29
  Trade balance, diff. oya [d] -0.35 -0.35 -0.36 -0.36   0.1   -0.18 0.25
  Excess GDP growth vs. US, % [e] 0.23 -1.38 -1.38 -1.38   -1.23   -0.77 -0.86
  Excess GDP growth vs. potential, % [f] 1.39 0.36 0.36 0.36   -0.08   -0.67 0.39
Carry and monetary policy
  Market-implied 3M FX carry, % [g] -2.47 -2.89 -3.17 -3   -1.91   -0.2 -0.75
  Interest rates differentials, % [h] -2.08 -2.75 -3.1 -3.16   -2   -0.1 -0.5
  Real 3M FX carry, % [i] -1.98 -2.3 -2.57 -2.41   -1.6   0.13 -0.36
  Carry-to-vol ratio [j] -0.45 -0.41 -0.42 -0.48   -0.25   -0.11
  Excess inflation, % [k] -0.4 0.32 0.2 -0.17   -0.21   0.29 -0.4
  Excess credit growth, %oya [l] -2.64 -1.63 -1.51 -1.15   0.61   3.35 -0.42
  Excess M1 growth, %oya [m] 4.19 3.29 3.36 3.73   1.93   6.23 4.52
Market distress
  FX Fwd market, short-term vol., % [n] 5.46 7.07 7.57 6.22   7.59   8.32
  Volatility shock (ratio s-t/m-t) [o] -0.23 -0.04 0.19 -0.13   0.02   -0.01
  Implied FX vol deviation, % [p] -0.38 -0.05 -0.23 0.2   1.13   0.05 -0.07
[a] Real effective exchange rate, % change versus previous 5-years moving average
[b] Current account ratio, % of GDP, 12-month trailing
[c] Trade balance ratio, % of GDP, 12-month trailing
[d] Trade balance ratio, % of GDP, change over 12 months ago, in p.p.
[e] GDP growth trend versus base country (US), 3-month average, %oya
[f] GDP growth trend versus estimated potential (OECD), 3-month average, %oya
[g] FX Forward implied 3-month carry, annualized, capped at 20% p.a.
[h] Local 3-month nominal rate differentials over base currency (US), %
[i] Real FX carry: forward-implied carry, minus inflation expectation differential to base country (US)
[j] Carry-to-vol ratio (exponentially-weighted annualized std deviation of forwards returns)
[k] Broad (50% headline/ 50% core) annual inflation over target, p.p.
[l] Inflation-adjusted credit to private non-financial sector, growth in excess of real GDP growth, %oya
[m] Inflation-adjusted M1 growth in excess of real GDP growth, %oya
[n] Exponentially-weighted (11-day halftime) annualized volatility of FX forward returns, %
[o] Ratio of 11-day to 22-day halftime exponentially-weighted volatility of FX forward returns, p.p.
[p] ATM 1M implied FX options volatility, % deviation vs. past 3-month moving average

3.4.5 British pound (GBP)

British pound : macro factors as of 2019-01-13
USDGBP   comparison   historic averages
12m ago 3m ago 1m ago latest   DMAVG group   2003-2009 2010-2019
Valuation/fundamental and competitiveness
  Real FX vs. 5Y, % [a] -6.57 -5.95 -6.08 -6.58   -3.09   -4.95 -2.7
  Current account balance, % of GDP [b] -3.33 -3.84 -3.84 -3.84   1.56   -2.89 -4.03
  Trade balance, % GDP [c] -1.16 -1.22 -1.35 -1.35   1.27   -2.41 -1.53
  Trade balance, diff. oya [d] 0.4 -0.08 -0.16 -0.16   0.1   0.09 0.09
  Excess GDP growth vs. US, % [e] -0.86 -1.5 -1.5 -1.5   -1.23   -0.41 -0.34
  Excess GDP growth vs. potential, % [f] -0.03 -0.01 -0.01 -0.01   -0.08   -0.78 0.54
Carry and monetary policy
  Market-implied 3M FX carry, % [g] -1.41 -1.64 -1.82 -1.73   -1.91   1.27 -0.19
  Interest rates differentials, % [h] -1.17 -1.6 -1.84 -1.9   -2   1.46 -0.08
  Real 3M FX carry, % [i] -1.68 -1.76 -1.85 -1.73   -1.6   1.53 -0.43
  Carry-to-vol ratio [j] -0.24 -0.18 -0.18 -0.22   -0.25   -0.02
  Excess inflation, % [k] 0.97 0.42 0.31 0.31   -0.21   0.09 0.28
  Excess credit growth, %oya [l] -0.74 1.05 1.16 1.16   0.61   4 -2.16
  Excess M1 growth, %oya [m] 0.31 -0.4 0.78 0.78   1.93   6.84 1.87
Market distress
  FX Fwd market, short-term vol., % [n] 5.96 8.98 10.15 7.79   7.59   8
  Volatility shock (ratio s-t/m-t) [o] -0.25 0.23 0.25 -0.22   0.02   0.01
  Implied FX vol deviation, % [p] -1.48 1.58 4.33 2.27   1.13   0.11 0.01
[a] Real effective exchange rate, % change versus previous 5-years moving average
[b] Current account ratio, % of GDP, 12-month trailing
[c] Trade balance ratio, % of GDP, 12-month trailing
[d] Trade balance ratio, % of GDP, change over 12 months ago, in p.p.
[e] GDP growth trend versus base country (US), 3-month average, %oya
[f] GDP growth trend versus estimated potential (OECD), 3-month average, %oya
[g] FX Forward implied 3-month carry, annualized, capped at 20% p.a.
[h] Local 3-month nominal rate differentials over base currency (US), %
[i] Real FX carry: forward-implied carry, minus inflation expectation differential to base country (US)
[j] Carry-to-vol ratio (exponentially-weighted annualized std deviation of forwards returns)
[k] Broad (50% headline/ 50% core) annual inflation over target, p.p.
[l] Inflation-adjusted credit to private non-financial sector, growth in excess of real GDP growth, %oya
[m] Inflation-adjusted M1 growth in excess of real GDP growth, %oya
[n] Exponentially-weighted (11-day halftime) annualized volatility of FX forward returns, %
[o] Ratio of 11-day to 22-day halftime exponentially-weighted volatility of FX forward returns, p.p.
[p] ATM 1M implied FX options volatility, % deviation vs. past 3-month moving average

3.4.6 Japanese yen (JPY)

Japanese yen : macro factors as of 2019-01-13
USDJPY   comparison   historic averages
12m ago 3m ago 1m ago latest   DMAVG group   2003-2009 2010-2019
Valuation/fundamental and competitiveness
  Real FX vs. 5Y, % [a] -4.39 -1.28 0.08 2.73   -3.09   -7.11 -5.24
  Current account balance, % of GDP [b] 4.04 3.82 3.56 3.56   1.56   3.47 2.58
  Trade balance, % GDP [c] 0.54 0.15 -0.13 -0.13   1.27   1.55 -0.46
  Trade balance, diff. oya [d] -0.22 -0.49 -0.72 -0.72   0.1   -0.22 0.03
  Excess GDP growth vs. US, % [e] -0.12 -3 -3 -3   -1.23   -1.46 -0.86
  Excess GDP growth vs. potential, % [f] 1.23 -1.2 -1.2 -1.2   -0.08   -0.36 0.72
Carry and monetary policy
  Market-implied 3M FX carry, % [g] -2.2 -2.74 -3.09 -2.87   -1.91   -2.52 -0.87
  Interest rates differentials, % [h] -1.72 -2.45 -2.85 -2.88   -2   -2.54 -0.61
  Real 3M FX carry, % [i] -1.36 -1.94 -2.3 -2.07   -1.6   -0.81 0.04
  Carry-to-vol ratio [j] -0.41 -0.52 -0.68 -0.37   -0.25   -0.12
  Excess inflation, % [k] -0.9 -0.81 -1.11 -1.11   -0.21   -1.03 -1.18
  Excess credit growth, %oya [l] -1.21 1.46 1.76 1.76   0.61   -1.82 -1.55
  Excess M1 growth, %oya [m] 3.34 4.99 4.6 4.6   1.93   1.91 3.26
Market distress
  FX Fwd market, short-term vol., % [n] 5.42 5.23 4.54 7.69   7.59   8.56
  Volatility shock (ratio s-t/m-t) [o] -0.2 -0.04 -0.2 0.52   0.02   0.01
  Implied FX vol deviation, % [p] -2.08 -0.61 -0.24 2.14   1.13   0.1 -0.11
[a] Real effective exchange rate, % change versus previous 5-years moving average
[b] Current account ratio, % of GDP, 12-month trailing
[c] Trade balance ratio, % of GDP, 12-month trailing
[d] Trade balance ratio, % of GDP, change over 12 months ago, in p.p.
[e] GDP growth trend versus base country (US), 3-month average, %oya
[f] GDP growth trend versus estimated potential (OECD), 3-month average, %oya
[g] FX Forward implied 3-month carry, annualized, capped at 20% p.a.
[h] Local 3-month nominal rate differentials over base currency (US), %
[i] Real FX carry: forward-implied carry, minus inflation expectation differential to base country (US)
[j] Carry-to-vol ratio (exponentially-weighted annualized std deviation of forwards returns)
[k] Broad (50% headline/ 50% core) annual inflation over target, p.p.
[l] Inflation-adjusted credit to private non-financial sector, growth in excess of real GDP growth, %oya
[m] Inflation-adjusted M1 growth in excess of real GDP growth, %oya
[n] Exponentially-weighted (11-day halftime) annualized volatility of FX forward returns, %
[o] Ratio of 11-day to 22-day halftime exponentially-weighted volatility of FX forward returns, p.p.
[p] ATM 1M implied FX options volatility, % deviation vs. past 3-month moving average

3.4.7 Norwegian krone (NOK)

Norwegian krone : macro factors as of 2019-01-13
USDNOK   comparison   historic averages
12m ago 3m ago 1m ago latest   DMAVG group   2003-2009 2010-2019
Valuation/fundamental and competitiveness
  Real FX vs. 5Y, % [a] -7.57 0.75 -2.28 -4.23   -3.09   0.84 -3.9
  Current account balance, % of GDP [b] 5.6 7.92 7.92 7.92   1.56   13.68 9.36
  Trade balance, % GDP [c] 5.3 6.79 8.1 8.1   1.27   14.55 10.04
  Trade balance, diff. oya [d] 1.4 0.98 2.86 2.86   0.1   0.16 -0.93
  Excess GDP growth vs. US, % [e] -0.5 -1.44 -1.44 -1.44   -1.23   -0.03 -0.68
  Excess GDP growth vs. potential, % [f] -0.02 -0.36 -0.36 -0.36   -0.08   -1.37 -0.56
Carry and monetary policy
  Market-implied 3M FX carry, % [g] -1.22 -1.45 -1.64 -1.55   -1.91   0.47 0.72
  Interest rates differentials, % [h] -0.88 -1.3 -1.52 -1.54   -2   0.65 1
  Real 3M FX carry, % [i] -1.29 -1.48 -1.77 -1.73   -1.6   0.22 0.35
  Carry-to-vol ratio [j] -0.15 -0.21 -0.19 -0.18   -0.25   0.06
  Excess inflation, % [k] -0.87 0.9 0.99 0.99   -0.21   -0.57 -0.4
  Excess credit growth, %oya [l] -1.1 -3.48 -3.57 -3.57   0.61   7.59 0.73
  Excess M1 growth, %oya [m] 1.94 3.92 2.82 2.82   1.93   -1.57 11.14
Market distress
  FX Fwd market, short-term vol., % [n] 8.29 7.02 8.66 8.42   7.59   10.32
  Volatility shock (ratio s-t/m-t) [o] -0.05 -0.12 0.22 0.04   0.02   -0.01
  Implied FX vol deviation, % [p] 0.28 -0.16 -0.14 1.08   1.13   0.15 -0.13
[a] Real effective exchange rate, % change versus previous 5-years moving average
[b] Current account ratio, % of GDP, 12-month trailing
[c] Trade balance ratio, % of GDP, 12-month trailing
[d] Trade balance ratio, % of GDP, change over 12 months ago, in p.p.
[e] GDP growth trend versus base country (US), 3-month average, %oya
[f] GDP growth trend versus estimated potential (OECD), 3-month average, %oya
[g] FX Forward implied 3-month carry, annualized, capped at 20% p.a.
[h] Local 3-month nominal rate differentials over base currency (US), %
[i] Real FX carry: forward-implied carry, minus inflation expectation differential to base country (US)
[j] Carry-to-vol ratio (exponentially-weighted annualized std deviation of forwards returns)
[k] Broad (50% headline/ 50% core) annual inflation over target, p.p.
[l] Inflation-adjusted credit to private non-financial sector, growth in excess of real GDP growth, %oya
[m] Inflation-adjusted M1 growth in excess of real GDP growth, %oya
[n] Exponentially-weighted (11-day halftime) annualized volatility of FX forward returns, %
[o] Ratio of 11-day to 22-day halftime exponentially-weighted volatility of FX forward returns, p.p.
[p] ATM 1M implied FX options volatility, % deviation vs. past 3-month moving average

3.4.8 New Zealand dollar (NZD)

New Zealand dollar : macro factors as of 2019-01-13
USDNZD   comparison   historic averages
12m ago 3m ago 1m ago latest   DMAVG group   2003-2009 2010-2019
Valuation/fundamental and competitiveness
  Real FX vs. 5Y, % [a] -4.45 -5.55 0.51 -1.81   -3.09   8.12 1.68
  Current account balance, % of GDP [b] -2.93 -3.53 -3.53 -3.53   1.56   -5.42 -2.91
  Trade balance, % GDP [c] -1.02 -1.77 -1.77 -1.77   1.27   -2.77 -0.55
  Trade balance, diff. oya [d] 0.23 -0.69 -0.53 -0.53   0.1   -0.24 0.02
  Excess GDP growth vs. US, % [e] 0.9 -0.4 -0.4 -0.4   -1.23   0.71 0.57
  Excess GDP growth vs. potential, % [f] 0.31 -0.46 -0.46 -0.46   -0.08   -0.73 0.35
Carry and monetary policy
  Market-implied 3M FX carry, % [g] 0.48 -0.13 -0.56 -0.58   -1.91   3.56 2.1
  Interest rates differentials, % [h] 0.19 -0.48 -0.76 -0.84   -2   3.57 1.97
  Real 3M FX carry, % [i] 0.57 0.19 -0.26 -0.3   -1.6   3.39 2.15
  Carry-to-vol ratio [j] 0.07 -0.02 -0.06 -0.08   -0.25   0.2
  Excess inflation, % [k] -0.38 -0.11 -0.11 -0.11   -0.21   0.7 -0.43
  Excess credit growth, %oya [l] -0.93 0.09 0.09 0.09   0.61   3.98 -0.34
  Excess M1 growth, %oya [m] 3.74 5.65 3.68 3.68   1.93   0.58 3.53
Market distress
  FX Fwd market, short-term vol., % [n] 7.13 7.96 9.89 7.4   7.59   10.57
  Volatility shock (ratio s-t/m-t) [o] -0.14 -0.09 0.25 -0.23   0.02   -0.01
  Implied FX vol deviation, % [p] -0.92 -0.79 0.3 1.27   1.13   0.17 -0.14
[a] Real effective exchange rate, % change versus previous 5-years moving average
[b] Current account ratio, % of GDP, 12-month trailing
[c] Trade balance ratio, % of GDP, 12-month trailing
[d] Trade balance ratio, % of GDP, change over 12 months ago, in p.p.
[e] GDP growth trend versus base country (US), 3-month average, %oya
[f] GDP growth trend versus estimated potential (OECD), 3-month average, %oya
[g] FX Forward implied 3-month carry, annualized, capped at 20% p.a.
[h] Local 3-month nominal rate differentials over base currency (US), %
[i] Real FX carry: forward-implied carry, minus inflation expectation differential to base country (US)
[j] Carry-to-vol ratio (exponentially-weighted annualized std deviation of forwards returns)
[k] Broad (50% headline/ 50% core) annual inflation over target, p.p.
[l] Inflation-adjusted credit to private non-financial sector, growth in excess of real GDP growth, %oya
[m] Inflation-adjusted M1 growth in excess of real GDP growth, %oya
[n] Exponentially-weighted (11-day halftime) annualized volatility of FX forward returns, %
[o] Ratio of 11-day to 22-day halftime exponentially-weighted volatility of FX forward returns, p.p.
[p] ATM 1M implied FX options volatility, % deviation vs. past 3-month moving average

3.4.9 Swedish krona (SEK)

Swedish krona : macro factors as of 2019-01-13
USDSEK   comparison   historic averages
12m ago 3m ago 1m ago latest   DMAVG group   2003-2009 2010-2019
Valuation/fundamental and competitiveness
  Real FX vs. 5Y, % [a] -4.95 -6.42 -6.5 -5.3   -3.09   -1.75 -2.88
  Current account balance, % of GDP [b] 3.17 2.13 2.13 2.13   1.56   6.76 4.62
  Trade balance, % GDP [c] -0.24 -0.6 -0.64 -0.64   1.27   4.46 0.79
  Trade balance, diff. oya [d] 0.09 -0.33 -0.45 -0.45   0.1   -0.48 -0.36
  Excess GDP growth vs. US, % [e] 0.26 -1.35 -1.35 -1.35   -1.23   -0.07 0.4
  Excess GDP growth vs. potential, % [f] 0.65 -0.44 -0.44 -0.44   -0.08   -0.8 0.8
Carry and monetary policy
  Market-implied 3M FX carry, % [g] -2.51 -2.99 -3.23 -2.8   -1.91   -0.27 -0.31
  Interest rates differentials, % [h] -2.16 -2.86 -3.11 -2.94   -2   -0.14 -0.08
  Real 3M FX carry, % [i] -2.45 -2.85 -3.09 -2.66   -1.6   0.1 -0.01
  Carry-to-vol ratio [j] -0.28 -0.33 -0.37 -0.26   -0.25   -0.05
  Excess inflation, % [k] -0.26 0.32 -0.04 -0.04   -0.21   -0.64 -0.97
  Excess credit growth, %oya [l] 2.3 3.85 4.21 4.21   0.61   6.34 1.06
  Excess M1 growth, %oya [m] 3.71 3.14 4.05 4.05   1.93   4.42 4.52
Market distress
  FX Fwd market, short-term vol., % [n] 8.95 9.01 8.75 10.81   7.59   10.35
  Volatility shock (ratio s-t/m-t) [o] 0.15 0.03 -0.04 0.21   0.02   0
  Implied FX vol deviation, % [p] 0.01 -0.58 -0.53 0.06   1.13   0.16 -0.14
[a] Real effective exchange rate, % change versus previous 5-years moving average
[b] Current account ratio, % of GDP, 12-month trailing
[c] Trade balance ratio, % of GDP, 12-month trailing
[d] Trade balance ratio, % of GDP, change over 12 months ago, in p.p.
[e] GDP growth trend versus base country (US), 3-month average, %oya
[f] GDP growth trend versus estimated potential (OECD), 3-month average, %oya
[g] FX Forward implied 3-month carry, annualized, capped at 20% p.a.
[h] Local 3-month nominal rate differentials over base currency (US), %
[i] Real FX carry: forward-implied carry, minus inflation expectation differential to base country (US)
[j] Carry-to-vol ratio (exponentially-weighted annualized std deviation of forwards returns)
[k] Broad (50% headline/ 50% core) annual inflation over target, p.p.
[l] Inflation-adjusted credit to private non-financial sector, growth in excess of real GDP growth, %oya
[m] Inflation-adjusted M1 growth in excess of real GDP growth, %oya
[n] Exponentially-weighted (11-day halftime) annualized volatility of FX forward returns, %
[o] Ratio of 11-day to 22-day halftime exponentially-weighted volatility of FX forward returns, p.p.
[p] ATM 1M implied FX options volatility, % deviation vs. past 3-month moving average

4 Definitions and documentation

Nominal GDP
Real GDP
Potential output

Headline inflation
Core inflation
Inflation target

Balance of payments
Current account balance
Foreign Direct Investments
Portfolio flows
Foregin reserves

Real Exchange Rate
Effective exhcnage rate
Carry